You start to make a selection and it always ends up off to the side of what you want to select and it usually looks like the photo below.
I had given up on using this selection tool until I learned how to control it.
Imagine a box around your image. Start your selection (place the crosshair icon) in what what be the bounding box area around your elliptical shape.
You'll end up getting a lot closer to the area you want.
Of course there would have been an even better way to make a selection in the above example. Because the sky is all black I could have selected the sky with the Quick Selection or Magic Wand tool and then went to Select > Inverse. However, that only works well if the background is a solid color.
Now you'll be able to finally get the results you should when using the elliptical marquee tool.