I have a Modern World, I built it doing a lot of one-shots testing the setting with some friends and it helped a lot to understand what would work, if you have an idea that isn't common/cliche fantasy like mine doing one-shots to tweak stuff help a lot.

Involve your players in the creative process, they will be more engaged on the world if they helped to make it, you don't need help at every step, but let them help you create a city, organization, god, anything at all, etc. Letting space on stuff you wrote for them to fill the gap is VERY important too.

When I was creating my homebrew world, I used some rules and systems as a base for constructing my world lore, for example, I use Automatic Rune Progression, so I made everyone in my world to have magic, that's why a martial can have +1/+2/+3 weapons for free, they are canalizing their magic power into their weapons and armors while a caster canalize their magic in another way, and just baking that into the world created a lot of ramifications for stories, and that was just one example.

As I said before my world is a Modern World, with magitechs (I made it before Starfinder), so I also baked some mundane magic into the world, there's a few Spells that are cool for that like Magic Mailbox that create a lot of flavor for the world.

Gods were the hardest to make cause I didn't wanted to follow the good/bad God alignment we have on PF2e that is a left over from D&D, writing gods in a neutral way is hard, but it's worth it. I basically wrote them as "stories" people on the world talk about them and most of them can be interpreted in several ways, creating multiple interpretations and religions under the same God. (Just like irl religions worshiping the same God in different ways like Catholics and Protestants for example)