Your fact is correct, but the mind-blowing thing about infinite sets is that they go against intuition.
Even if one might think that the number of odd numbers is strictly less than the number of all natural numbers, these two sets are in fact of the same size. With the mapping n |-> 2*n - 1 you can map each natural number to a different odd number and you get every odd number with this (such a function is called a bijection), so the sets are per definition of the same size.
To get really different “infinities”, compare the natural numbers to the real numbers. Here you can’t create a map which gets you all real numbers, so there are “more of them”.