Apple - OSX cmd+tab behavior with multiple windows & monitors

System prefs > Mission Control... uncheck 'Displays have separate Spaces'
That would be my prime suspect. I switched that one off the day it appeared in the OS.

From comments, that will disable the ability to move the menu bar & dock to each screen on an ad-hoc basis, though - which may be best asked as a separate question requesting a possible 3rd party solution, as I know of no way to do that natively.

Contexts offers significant customization for macOS window-switcher (Alt-Tab shortcut) behavior, location across multiple displays, and appearance.

Install Contexts.app. Run it. Then select Panel->'Show Panel on', as per the following screenshot, which shows the switcher on 'All displays' in the setting below. You have option to also set to the Active or Primary displays, the latter being the display with the menu bar, which is configurable.

This may or may not solve your exact problem, or possibly provide even a better alternative. I myself like displaying the switcher on all displays.