This Stupid World emerged from jam sessions that the band held in their Hoboken, New Jersey, studio, typically without the aim of recording an album. These sessions began just before the COVID-19 pandemic, which forced the trio to pause recording for several months due to restrictions and canceled live performances. After a few live shows and their annual Hanukkah series later that year, they resumed recording in late 2021. The spontaneity of those holiday performances inspired Yo La Tengo to experiment in the studio, and unlike their previous album, We Have Amnesia Sometimes, they approached these sessions with the intention of recording, using multi-track recording and overdubs. Initially aiming for a quick digital release via Matador Records, the band missed a July 2022 deadline and continued to refine the recordings, delaying the release to early 2023.