Teetertotter on Family Tree Circles

Every generation up to my grand father have different last names, making it very hard to find. Even when they arrived in the US they changed their name again.
This is so hard for me to understand, let alone research.
My father's last name was Davidson, his father's American name was John W Davidson, but his Swedish name was Johan Alfred A Flod and if my information is right, his father's name was Anders Johansson.
Why the different names and how do I go about finding other ancestors when they have different names, and I don't know what they were??? Thank you for any help you can share...