I once sat in on a lecture from an Oxford professor that specialises in conspiracy theories and it was a very interesting talk. She pointed out that belief in conspiracy is a complex thing driven by evolution, and it doesn't matter how smart a person is. They are still susceptible to belief in conspiracy because it's part of how we develop trust and knowledge. We naturally lean on the side of belief. If we didn't then we would never learn anything. Any time a teacher or other person tried to teach you something, you would ignore it and we would never advance.
The problem is that our ego then takes over. We trust what we learn first and if we find out that this "fact" was actually fiction, then we have to accept that we made a mistake in trusting the wrong person, and believing the wrong thing. It's much easier to ignore the truth than admit that we made an error.
And it's not just base ego. It's a part of evolution. If we admit to ourselves that everything we know could be wrong, then the response becomes Solipsism and Nihilism. What's the point of going on if we can't know anything to be true? To put it simply, to admit error is to admit that your life could be pointless. This combined with the fact that Conspiracies bring purpose into people's lives. They feel special that they are different to others. And they feel that they are achieving something by fighting for their cause. They really believe they are warriors of truth, but it's actually just an urge to be something more than they are.
Of course there's a way to admit your errors and still combat Nihilism, and that is to have an impact on the world and on other's lives. That tricks your brain into thinking that you actually have purpose then you no longer need conspiracies to make you happy. You don't have to be a rocket surgeon, just do something that really helps others. That works just as well as believing in crazy Conspiracies.