As a whole, you're right. Primers, in particular, are probably beyond all but the most dedicated hobbyist's ability to produce at home. Still, lots of people cast their own bullets. People reuse shell casings, although there's a limit to how many times they can be reused. Smokeless powder is probably marginally easier to make than primers.

People have cast bullets and formed simple cases since the 1800s if not earlier. Primers are a bit more complex but not much so. Black powder has been produced by hand for several hundred years, and smokeless gun powder is not terribly more complicated.