Google has been more transparent that it happens. Apple is definitely collecting information on everything you do on their devices as well. It may be just as much info.
With their new pay later feature, you know they are at least collecting enough info to make financial decisions based on your profile.
They also collect health data using the watch.
They collect more than that in order to better understand how to keep people in their ecosystem. I'd wager the latter will about cover what OP was surprised by Google capturing.
Microsoft is another story. They are the most valuable tech company in the world right now due to AI. Which indicates that they are training some powerful AI on data that has been gathered in a number of places.