Frank Zappa and Robert Fripp are two artists I recognize as having created their own labels (Barking Pumpkin and Discipline, respectively) to publish and distribute their own work (I think that’s right). Who else has done that?
Herb Alpert created A&M Records with Jerry Moss.
Prince did it for awhile. It is part of the reason he changed his name. To confound WB while he still owed them albums.
He released albums on his own for awhile and then went to Sony.
Bowie left the majors for Rycodisc because he didn’t like RCA putting his albums out as budget releases using inferior source materials. Eventually he went to another company as well.
Frank, Prince, and others also had home studios. Saved on expenses.
Many bands “owe” their label bogus production costs that take years to pay off for recording an album where the label instructs them to go.