The balance of songs in World Gone Wrong swung more towards rural blues. Two had been recorded by Mississippi Sheik, two more by Blind Willie McTell, one by Willie Brown, and another by Frank Hutchinson. Songs popularized by Tom Paley and Doc Watson were also recorded.

In the case of "The Two Soldiers," Dylan had been performing it live since 1988. As Clinton Heylin writes, on World Gone Wrong Dylan invested it "with that classic impersonality the true traditionalist seeks."