Well depends on the genre. For a fantasy or even scifi world drawing a map of the planet/universe might be a good start. Once you have a map make up some political bodies. Then brainstorm for races, cultures, countries and other stuff. When you've filled some content in there will always be something new (especially if you wanna go in depth with history)

If you're making some other genre say a teen drama or lovecraftian village horror I haven't got much experience. Maps are always the first thing I recommend and then filling the map with stuff seems to work for most things.

Just ask me anything if you need more help. I'm here till I collapse from tiredness.