Have you tried European sizes? I think a shoe salesman told me once that the European sizes fall in between the American ones. Or if you wear European, try American.
Is your problem maybe something like a narrow heel? Maybe your heel is slipping in the appropriate-sized shoe, which is leading you to try the next size down, which is actually too small.
I would also get your foot measured so you can be sure of your size. Not all places do this anymore, unfortunately. I'm sure Nordstrom's does. Clarks Shoes also does it--I had my foot measured there recently. I think you would benefit from a good old-fashioned shoe store with SA's who have a lot of experience fitting shoes. They might be able to give you some advice.