Most metal labels releases are supplied by one of the same handful of distributors (Caroline, RED etc) which are actually just divisions of major labels that serve the "underground" niche markets.
So Candlelight, Earache, Century Media, Nuclear Blast are all distributed by Caroline, which is a division of Universal. Metal Blade, Relapse, Megaforce, Southern Lord are distributed by RED Distribution (Sony division).
This is of course not unique to metal, most "independent" labels are corporate owned... Victory, Psychopathic, Rap A Lot, Tooth & Nail, Metropolis, G Unit, Mute etc are all carried in the same way. Generally speaking, if it has a printed UPC code on the back then it's probably not an underground release.
If you want to avoid supporting major labels any more than possible, download and/or buy secondhand.