Sessions for Love and Theft were held at Sony Music's recording studios in midtown Manhattan, scheduled at approximately 3:30 p.m. every day between May 9th and the 21st in 2001. The players gathered for these sessions were Charlie Sexton on guitar, Larry Campbell on guitar as well as mandolin, violin, and banjo, Tony Garnier on bass, David Kemper on drums and percussion, and Augie Meyers on keyboards and accordion. Augie Meyers, who has known Dylan since the 1960's, had previously played in the Sir Douglas Quintet as well as Time Out of Mind. (Carl Meyers also contributed bongos on "Tweedle Dee & Tweedle Dum" and "Honest With Me.")

Dylan produced these sessions under the pseudonym, 'Jack Frost,' "because I didn’t feel any additional help was necessary. Not that I want to take credit or draw attention to myself. I don’t want to get flooded with calls from other people, asking me to pilot their records. Heh-heh-heh! It’s not like I'm in need of the work!"

In an interview with Rolling Stone Meyers said "There was none of this 'Hi, what's happening?' and a bit of BS. It was, 'OK, let's go to work.' After we were through, at ten o'clock at night, it seemed like we'd only been there a couple of hours, because it was so much fun. Every day was a special day, because every day was a new song."

Dylan wrote and re-wrote many of the lyrics to Love and Theft during the recording sessions, right on the spot. Dylan, says Meyers, would "fool around for a while with a song, then we'd cut it. And he'd say, 'I think I'm gonna write a couple more verses,' sit down and write five more verses. Each verse had six or eight lines. It's complicated stuff, and he was doing it right there."

The songs, Meyers adds, were mostly recorded live, including Dylan's vocals. "Bob don't like to overdub much," Meyers notes. "He would overdub some acoustic guitars, put some mandolin and fiddle on there. Sometimes he'd overdub his voice. If he messed up [a vocal], he'd overdub a word or two."

Love and Theft was notable for using Dylan's touring band during all of the sessions. Dylan had been touring with this unit since June 5, 1999, when Charlie Sexton replaced previous guitarist Bucky Baxter. Meyers was the only session player who was not part of that group, but even he had a relationship with guitarist Larry Campbell, who played with Meyers and Sir Douglas Quintet leader Doug Sahm back in the 1970s.

When it came to recording albums, Dylan often hired new session players rather than take his touring band into the studio. However, as many critics and fans had noticed, his live shows were steadily improving throughout the 1990's, and by 2001, his concerts were receiving a great deal of critical acclaim. Some argued that the Sexton-Campbell combo was perhaps his best backing band since the Band in 1974. The shows were marked by tight, focused arrangements that often lent themselves to lively improvisations between Sexton and Campbell. In an interview in Guitar World Magazine, published several months before Sexton joined the band, Dylan remarked, "if you're going to ask me what's the difference between now and when I used to play in the Seventies, Eighties and even back in the Sixties, the songs weren't arranged. The arrangement is the architecture of the song. And that's why our performances are so effective these days, because measure for measure we don't stray from the actual structure of the song. And once the architecture is in place, a song can be done in an endless amount ofways. That's what keeps my current live shows unadulterated. Because they're not diluted, or they're not jumbled up. They're not scrambled, they're not just a bunch of screaming... a conglomerated sound mix. It's like Skip James...once said: 'I don't want to entertain. What I want to do is impress with skill and deaden the minds of my listeners.' If you listen to his records -- his old records -- you know he can do that. But if you listen to the records he made in the Sixties, when they rediscovered him, you find that there's something missing. And what's missing is that interconnecting thread of the structure of the songs."

Dylan had previously recorded the Oscar-winning song, "Things Have Changed," using this group, but Love and Theft marked their first appearance on an entire album. At the time, nobody knew it would be their only album together, as the band gradually disbanded after 2002. "I think Bob has got the perfect thing," said Meyers said. "Lord help him, if he can go for another ten or twelve years, I think that band will be there with him."

During the recording sessions, Dylan was mindful of past bootleg releases that've "been bought up by so-called hardcore fans of mine, whoever they might be - those folks out there who are obsessed with finding every scrap of paper I’ve ever written on, every single outtake. All right, that’s the world we live in. I accept it’s just the way things are. But the fact is that I can no longer be interested in it [material ‘released’ without his consent in this way]. It’s already been contaminated for me. I turn my back, move on to something else." As a result of the stricter controls exerted over his own recordings, Dylan was able to keep all of the studio work under wraps. "This time...my original wasn't floating around out there, and I felt able to go back and revisit it. I’m glad for once to have had the opportunity to do so."