I've researched this problem and I've tried fixing the code as instructed in a few questions before (such as this one) but it still won't work. Though I must say that all the answers I checked were from 2009-2010 so they might be obsolete.
This is the culprit code:
            foreach(Entity player in players)
            {
                if(player.actions.Count > 0)
                {
                    Entity temp = player;
                    player.isDoingAction = true;
                    Debug.Log(player.name + " started action");
                    player.actions.Dequeue().Execute(() => { temp.isDoingAction = false; Debug.Log(temp.name + " finished"); });
                }
            }
This prints the following:
Player1 started action
Player2 started action
Player2 finished
Player2 finished
When it should print:
Player1 started action
Player2 started action
Player1 finished
Player2 finished
Or something similar.
This code runs in a Unity coroutine function.
A bit larger snip from the code:
GameManager.cs
private IEnumerator RunTurn()
{
    ...
    ...
    ...
    for(int i = 0; i < phases; i++)
    {
        //Assign action to each player
        foreach(Entity player in players)
        {
            if(player.actions.Count > 0)
            {
                Entity temp = player;
                player.isDoingAction = true;
                Debug.Log(player.name + " started action");
                player.actions.Dequeue().Execute(() => { temp.isDoingAction = false; Debug.Log(temp.name + " finished"); });
            }
        }
        //Wait for each player to finish action
        foreach(Entity player in players)
        {
            while(player.isDoingAction == true)
            {
                Debug.Log("Waiting for " + player.name);
                yield return null;
            }
        }
    }
    ...
    ...
    ...
}
Action.cs
public override void Execute(System.Action callback)
{
    Move(callback);             
}
private void Move(System.Action callback)
{
    ...
    ...
    ...
    //Move target entity
    target.MoveToPosition(newPosition, mSpeed, callback);
    target.location = newLocation;
    ...
    ...
    ...
}
Entity.cs
public void MoveToPosition(Vector3 position, float speed, System.Action callback)
{
    StartCoroutine(CoMoveToPosition(position, speed, callback));
}
//Move to position
private IEnumerator CoMoveToPosition(Vector3 position, float speed, System.Action callback)
{
    while(position != transform.position)
    {
        transform.position = Vector3.MoveTowards(transform.position, position, speed * Time.deltaTime);
        yield return null;
    }
    //Move finished so use callback
    callback();
}
Solution
It turns out there is a bug in Unity with coroutines and anonymous lambda callbacks. Check this link for more.
Working piece of code:
foreach(Entity player in players)
{
    if(player.actions.Count > 0)
    {
        player.isDoingAction = true;
        Debug.Log(player.name + " started action");
        System.Func<Entity, System.Action> action = new System.Func<Entity,System.Action>(p =>
        new System.Action(() => { p.isDoingAction = false; Debug.Log(p.name + " finished"); }));
        player.actions.Dequeue().Execute(action(player));
    }
}
                You can capture the value the following way:
var action = new Func<Entity, Action>(p => 
new Action(() => { p.isDoingAction = false; Debug.Log(p.name + " finished")); })(player);
player.actions.Dequeue().Execute(action);
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