Hosa CMP-153 Stereo Breakout, 3.5 mm TRS to Dual 1/4 Inch TS, 3 Feet

Okay, well here is an example of a cable that I have used for the same kind of situation. The connection types are the same as the ones in your photo. Like someone else suggested, it could be that your cable isn't very good. I have had poor-quality Y-cables like this in the past. So you are using the correct type of cable, but you might want to try one from a different manufacturer.