Genealogy on the hop - from Country to Country

Such a difficult thing. I live and do Genealogy from Victoria Australia, where most of my family lines have been sometimes for hundreds of years - BUT... I found a very interesting twig, this family I THINK they may have started in Spain, went to England, the line I'm chasing from England went to the States, to New York, Ward 13 BEFORE 1850, which is when the child I'm chasing was born there. Then after that but before 1896 they went from New York to Australia. I can find NO shipping records for any of the moves, I've looked at Ellis Island, but because it was pre 1850 no records there. And I've checked some English sources and of course my local shipping lists for Australia, but just can't find them I have his will written 1898 in Melbourne Victoria, and he and his wife are buried here, but still, chasing a family from country to country is SO frustrating, especially when records are SO different from place to place. For example in America I see a lot of references to the Social Security index is it? Or check your local court house. We have neither of those options in Australia. Also England which has great records, if you know what you're looking for, if you don't even know which County, well.... I'm fine in Australia, you tell me someone died in Victoria, I know where to look, was born in South Australia 1868 ditto I can do it, but chasing through 3 countries, very hard. Has anyone else had this problem?