Self-custody of ETFs?

After being exposed to and experiencing the self-custody of cryptocurrencies in the past months, I realise how valuable such a thing can be.

I was asking myself, if and how classic investments, such as a widely diversified ETFs, could also be held in self-custody. I am aware, that, at least where I'm living, there are laws that protect my ETFs even if the bank where they are held goes bankrupt. However, I would like to know, what it needs for me to be able to "truly self-custodially own my ETFs without intermediaries".

I couldn't find anything online for this, as all articles only describe how to create an account at a broker. But then don't show how I could get my ETFs off the platform of the broker.

What do you think? How would one do this? Or am I misunderstanding something fundamental?