Side marker light and turn signal

I have checked and rechecked all light bulbs and they are fine, but when I turn on my headlights and turn turn signal switch to indicate a right turn It does not work. If the headlights are off the signal works but the odometer blinks opposite to the blinker. I have changed the relays in the power distribution center and that has not solved it either. I am thinking that it may be the turn signal switch itself but a friend/mechanic says that ccannot be and that the bulb must be out. Am I nuts?? This is a 2001 Chrokee Sport .. I notice that when the headlights are on the sidemarker light is not. but functions as long as the headlights are off when using the turn signal.