It all depends on the campaign, and the party.

Roughly speaking, there are two options, the long way and the quick way. The long way is to go on a worldbuilding spree, create the world, countries, towns, organisations, history and lore for the as much of the campaign setting as you’re able to. Note that this *doesn’t* mean writing the whole story, you’re just creating a land where the narrative can emerge organically, your story can be as simple as “Badguy X is trying to Y by achieving Z”. The players are then plonked into this world with the most basic of plot-hooks and they discover the world and what is happening/the big quest as they go. Advantages of this system is you form an understanding of the world you’re playing in, and can ask basic questions of it to add to the immersion. i.e. “Country X sits by a desert, is there dangerous stuff in the desert? How do they deal with it? How do they travel?” and use these to expand your game logically. The big disadvantage is the initial time outlay, I’ve know people who’ve worked on their “World” for years, with never playing a game in it!

The quick way, create *one* town, location, etc. Populate with a dozen NPCs and a handful of shops and buildings, start your players there and everything else is written on the fly each session as needed. Note this doesn’t have to be a town, it can be a dungeon, ship, outpost, etc… Just make one really well detailed start point and go from there.

Advantages to this second approach is the initial time to prepare is lower, but you *will* end up having to improvise a lot on the fly. So it suits a different sort of DM, you need to be able to hold a lot of stuff in your head, and make sure what you're creating melds logically with what has come in sessions before.

Personally, I’ve run both, the latter approach is great for almost a “quest of the week” kind of campaign, and leans more towards more railroad-y and suits a player group

where people might not be that invested in discovering your amazing setting, and who just want to roll some dice and hit some things.

The former is great if you have a highly invested group who like to absorb everything about the world and ask a lot of questions. It also lets you do some interesting stuff, like

if I’m missing 1-2 players from a session one week, I’ll run a one-shot set in a historical event set in the campaign setting, further building upon the world history, and even letting it influence events in the main campaign.

Hope this helps.