You should do some research into Tolkien and how he created Middle Earth. That guy was the master at world building, and probably a perfect example of how to do it the right way/hard way. His starting point for his world was before the big bang theory equivalent. He created an entity named Eru Iluvatar who started making music, and then created other beings from his own subconscious to aid in the creation of the music, and each of those entities made their own music from the music of Iluvatar, then eventually the music started forming into a fire, and this fire would dance according to the music, and then some of the entities entered the fire to help shape it, and then that fire eventually became what we know as Middle Earth....or something like that lol. I'm kinda just winging it off memory, so some of that is probably inaccurate, but you get the point. Read The Silmarilion for the full thing.
One of the biggest themes in his writing is the idea of
sub-creation, which can be seen in almost every aspect. That alone is a very powerful tool for any looking to do some world-building, as it not only helps keep your ideas semi-organized, but it leads to things like world heritage, tradition, innovation, cultures, and all that wonderful unexpected and exciting stuff that make up a world.
Of course, if you're basing your world off of the real world or another existing world, you usually don't want to go so far back in the creation. Maybe you can try picking a point in time from which you want to start, and then start adding your own historical events alongside real ones, and then use that to mold the real history into a semi-fiction relevant for your own purposes.
One idea I had recently was to do just that to form some mythology. I split my world up into historical periods. In the earliest period, I set the stage for religious themes, created fake historical figures and stories, and created religious myths and monsters. Things like angels/demons, vampires, werewolves, sea monsters, ghosts, zombies, etc. After that, in around the 16th-17th centuries, I incorporated those elements to create stories about sea monsters, curses, ghosts, etc for a pirate-themed narrative.
Of course, world building is only one part of the creative process. You can have the most amazingly-detailed world ever, but if you're a crappy story teller then your stories aren't going to do the world justice. Likewise, if your world sucks but your stories are interesting, it could detract from the enjoyment people get from the stories.