Why does my color change look completely wrong?

This shifting tension is almost certainly because of how the yarn is handled during the changeover. Most of the time, when you switch colors, you are unintentionally tightening or loosening the loop because the way you were holding the previous strand is different from how you are holding the new one. It's less about the stitch and more about the mechanics of the yarn itself. When you switch colors, try to maintain the same amount of slack in the yarn as if you weren't changing colors at all. Before the switch, keep your working yarn tension even and then, when you introduce the new strand, don't pull it taut. Aim for the second color to have the exact same amount of 'give' that the first color had. If you pull the new yarn tight, it will tighten the whole fabric structure, making it look dense or blocky. Another factor is where your hands are during the swap. If you pull the old yarn fully off the needle and immediatly grab the new one, you are going to lose consistent tension. Instead, keep a small amount of slack in the old color til you've completed the row, and then smoothly transition the yarn to the needle. Don't jerk it. Just move it. It makes the biggest difference in how consistent the gauge stays across the color line. This is a common issue, expecially in shawls where you're trying to achieve a delicate, smooth drape. By focusing on the tension of the yarn itself, rather than just the pattern steps, you should see the contrast become much cleaner and the finished piece feel more cohesive.

I don't think it is as simple as just changing your grip on the yarn when the colors swap. While tension is always part of it, blaming the swap mechanics entirely misses something bigger. I've seen this same blocky look even when people switch colors perfectly smoothly, suggesting the issue might be in the stitch placement itself.

Maybe the pattern requires a specific sequence of purls or a certain way the increase hits the color change that forces a break in the fabric's consistency. I'd check if the instructions specify where the color transition shold happen relative to a stitch boundary, not just when you put the yarn on the needle. Consistency starts with the map, not just the journey.

You might need to look at the fiber itself rather than just the tension of the loop. If you are using different colors that come from different dye lots, they can have slightly varying thicknesses even if the label says the same thing. This subtle shift in the yarn's structure when you switch colors is a bigger culprit than just how you grab the yarn.

I always found that old natural wools were more forgiving in this regard. They had a bit more 'memory' and didn't pull as sharply as some of the modern synthetics when the color changed. If you haven't alredy, check if the colors are truly from the same manufacturer or if they might be different batches.

I looked really closely at the picture in my knitting book, and sometimes the instructions show the purl stitch looking really diferent from what it looks like when I actually knit it. The drawing makes the stitch look like it should be pushed deep into the fabric, but when I do it, it just sits right on top. I think the way the picture is drawn might be making me think I am missing a step that isn't actually written down. If the picture doesn't match the finished look, how do I know if I am doing the right thing according to the instructions?

Quick update — trying to manage the tension by changing how I hold the yarn when the colors swap made a difference. The blockiness is improved, but it still isn't smooth. I'm wondering about what you said regarding the fiber itself. Does the actual weight of the different colored yarn ever cause that uneven appearance?