…and still have a complex collision?
I created a big part of my world in Blender but when I try to import it into UE4, the collision box is way too clumsy; even with the convex decomposition maxed out. Anyone here who can help me out?
If it’s too big you’re going to have to split it up. As for collision, while the engine can generate a collision mesh you may have to create one by hand.
And how do I do that?
Im just wondering why its so hard for UE4 to align the collider with the actual mesh? Dont really get it, but its quite annoying that you have to split your world into tiny pieces. 
Normally you start by splitting by material, and then consider if you need to split it further. There’s more than just collision that can have problems if you import things into one big mesh, things like lighting and performance can suffer.
The automatic collision generator does not get all that accurate to a mesh, so the more complex a mesh is the more inaccurate the collision mesh is. There’s lots of information on collision and importing meshes in the documentation: Unreal Engine 4 Documentation | Unreal Engine Documentation