Edit: I need to preface this comment. There are Theories about Conspiracies, like the Iran Contra affair, the Snowden leaks, Iraq WMD to control the oil, etc. Then there are Conspiracy Theories like the elites secretly being aliens or COVID being an intentional planned and sanctioned release to control the Earth's population. These are not the same. They often get lumped in together, and perhaps that's by design.

This should be common sense but science always needs to be confirmed.

The core subconscious reason behind believing in (untrue) conspiracy theories is the desire to know something others don't. If you buy into the deeper theories with no basis in known reality (i.e. world governments are ultimately controlled by aliens) then your brain is telling your ego that you have more knowledge and power than the 99% of the population ("the sheep") and you are aware, while they are simply not intelligent enough to see, not as intelligent as you.

There are other factors at play, mainly distrust of authority, and there certainly are real conspiracies involving the elites of the world, but for the vast majority of 'conspiracy theorists' that seek out and identify with obscure conspiracy theories with no basis in reality, it's a self-protection mechanism. Likely stemming from not enough social bonding / support network - either in childhood or later on.

I've never had a solid logical debate with anyone calling someone a sheep.