Light, a classical concept, emerges from zillions of photons in a continuous mathematically demonstrable way, but photons, a quantum mechanical entity, are not light.
At the quantum level photons are mathematically connected to the frequency of light with a complex wavefunction, a solution of a quantized form of Maxwell's equation, that is why it can be expressed with the average E and B fields it may build up when assembled in bulk.
and its $Ψ^*Ψ$ , as all quantum mechanical solutions, represent the probability of finding the photon at an (x,y,z,t). So the individual photon is not spread out all over space time, it has a probability of existing in space time points given by the solution.
You are missing that the wave nature of a single photon is a probability amplitude, not an energy amplitude. Once and if you learn quantum electrodynamics here is a link on how the classical emerges from the quantum probabiliticprobabilistic level.