Like its predecessor Good As I Been to You, World Gone Wrong was recorded to fulfill the terms of his January 18, 1988 contract. It would be the final album released under that contract.

In May of 1993, Dylan once again held sessions at his Malibu home inside his garage studio. Recorded solo in a matter of days, a total of 14 songs were recorded without a single change in guitar strings. Marked by distortion, the recording quality was very primitive by modern standards, with very casual microphone placement and very little tuning. There were some rumors that Dylan had mastered the album from cassette tapes, similar to what Bruce Springsteen had done with Nebraska, but those rumors have been as difficult to prove as they have been to dismiss.

Possibly influenced by the controversy surrounding Good As I Been to You, Dylan wrote a complete set of liner notes to World Gone Wrong, citing all possible sources. It had been decades since Dylan last wrote his own liner notes, and even then they resembled surreal poetry rather than cut-and-dry information.