I generally pick a theme or a sorta vague concept that I wanna focus on (like memory, for example) and I sorta work out the mechanics of the world. Usually, I just write down a stream of consciousness / free write, sift through the important bits, patch any holes and start thinking about hierarchy, power structure, and other more fundamental bits like whether souls are a thing, how the afterlife works, where in the universe my thing exists in, what physical laws exist, etc., etc.
In summary, I start big and narrow it down from there x3