Advice to Make Characters Feel Lost w/o Discouraging the Players

Hello fellow nerds! I have a very specific DMing question that I'm hoping to get some sage wisdom for:

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Tl;dr version: how do I make the characters feel lost without making my players frustrated and disengaged by the same feeling?

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My players are coming up to the first real dungeon crawl in our campaign and I want to do something special. I have a lot of great lore, character-based story elements, atmospheric flavors, and general stuff to fill the dungeon with. I am also fine (truly fine) if they don't really delve into any of that stuff and just run to the end of the damn thing. While I do put a lot of work into my story and world, I am someone who gets his reward from the player experience and reaction, not from telling MY story MY way. So, to that point...

I want to create an incredible atmosphere in the dungeon, to the effect of getting truly, dizzyingly lost in an underground, alien world that sucks them in and swallows them alive.

I'm feeling like this could be a very dangerous thing to play with, since if the characters are lost then the players are also likely to feel lost and helpless, and that can ruin the fun. SO, my question is this: how do I create an immersive, disorienting, vertigo-like atmosphere of losing you bearings and getting lost in the dungeon WITHOUT frustrating my players and making them feel like their choices don't matter. If my players disengage because they feel like their choices don't matter, that is my worst nightmare.

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All help MUCH appreciated!