Disclaimer: I'm tagging this as "string theory" because the doubts came to me studying the actions in string theory, but the underlying problem could be about the concept of the action itself. Also, the discussion will consider the bosonic case only for simplicity.
From my understanding, in string theory (at least type II) the dynamical fundamental objects are D-branes, open strings, and closed strings. D-branes move in the $26$ dimensional spacetime, open strings move on the $p+1$ dimensional D$p$-brane, and closed strings again move in spacetime.
The classical string action (both open and closed), the Polyakov action, is integrated in $2$ dimensions, therefore on the string worldsheet, in the same way, a point particle action is integrated in $1$ dimension, on the worldline. But when studying the low energy effective action for the closed string, we found $$S_{LEE}=-\frac{1}{2k^2}\int d^{26}x \mathfrak{g}e^{-2\Phi}\left(\mathcal{R}-4(\partial\Phi)^2+\frac{1}{12}H^2\right)$$ so an action in $26$ dimensions. Why is this? Shouldn't this be the string action, therefore propagating on the string?
Now for the branes and open strings. We studied the Dirac-Born-Infeld action $$S_{DBI}=-T_p\int d^{p+1}\xi\left(1-\frac{1}{4}F^2+\frac{1}{2}(\partial\phi^I)^2\right)$$ that is in $p+1$ dimensions. Is this an action for the open strings or for the branes? If it's for the open strings, then the same question as above: why isn't it two-dimensional? Also, what is the action of the brane? If instead it is an action for the brane itself (because the fields on the brane give it a dynamical identity) then why isn't it in $26$ dimensions, if branes are propagating in spacetime?