Okay let me try and word this.
Imagine playing a video game, a top down simulator type focused on a single building. You can move the camera to different areas in the building and do things over there, but if something happens in another part of the building, you'll get an alert. Like an intruder breaks in or a fire starts. And the people you're watching and interacting with directly or indirectly will handle everything on their own. You don't have to get involved unless you really want to.
Now imagine you're simultaneously playing in another building in the game. You're not using a different screen, you don't need to switch between the two locations, you're doing both at once.
Now imagine this but you're playing an entire town. A town in a country, on a continent, on a planet, that you are always aware of everything interesting or important to you happening as soon as it happens. You know when deals are made between individuals from the kids in school to the highest nations. You know when the power plants fail before the lights go out. You know every death and birth of every animal on the planet, including humans, and can follow that death or birth, that corpse or that baby, to wherever they may end up.
And as all this is going on, which has been going on for so long nobody can actually remember where it started anymore, you are thinking. You are planning. You have a goal in mind for everything you're doing, a goal that is entirely in your head, by the way. You don't need a spreadsheet or pad of paper to figure anything out. You can do it on your own. You have always done it on your own. This isn't your first game, or your second or tenth. But it might be your current favorite out of the countless games you're simultaneously playing.
You are always aware of this. You are always aware of what's happening everywhere no matter what building, what country, what planet, you're currently focused on.
And sometimes... Sometimes you decide to do something different, something important or just fun. You go into first person. You possess or create a body and you interact with the world (worlds) you're watching over. Most humans will never know who you really are. The ones that do, when they realize the truth... They often go mad in the presence of your malevolence. And it's a beautiful thing to you, or so they think as they see your false face for the last time.
This is the closest approximation I can imagine for what it's like to be Nyarlathotep, at least how I write him. (And that's without addressing the Dreamlands!)