Following the theme
There are a lot of different resources out there telling you how to build a campaign setting. Some sources are very good, some are researched intensively, some are anecdotal and just tell you what worked for one other person. A lot of these sources provide conflicting information, or even multiple options and some people get discouraged at the abundance of information out there, but I'm hoping to condense it all into something nice and simple.
When you make a setting you need to consider first and foremost what you want, and what your players want. Because in all the different levels of complexity, depth, mood, tone, rules, theme, and other details what really matters is that everything in your setting is meant to keep you and your players happy and engaged. So, start by finding out what your players want, as detailed in my earlier article "Beginning the campaign".
Now that you know what your players want you should consider how to re-enforce those aspects as much as possible, and more importantly, how to do it visibly. By visibly I mean right in front of the players eyes. Let's take a basic example, let's say your players want "Diversity" to be a major theme of the campaign. It's fine if the distant Elven town across the continent uses different coins and languages and cultural norms than the human village the players start in. However, if the first ten adventures all take place in human villiages with human language and human coinage and culture then your diversity isn't visible. Players will usually only know about the places they visit and the people they meet, so early on in the first adventure or two you should include some of the main aspects of what they're looking for.
Keeping with the theme of visibility and players focusing on what they can reach, think about what is or isn't allowed in your campaign, and where it's from. This will be one of the first things players want to know. "Can I be a ____?" is one of the first things players want to know. I find it's incredibly helpful as a DM getting a campaign started to sit down and look at all the rules subsystems that I'm allowing and detail where they belong. Does your campaign have wizards? Does it have Clerics? Does it have warlocks? Does it have occultists? Does it have Martial Adepts? And more than "does this exist" think "what is this in my setting?". A world where only Elves are psionic, dwarves are sorcerers, and halflings are martial adepts is unusual but interesting and can re-enforce a theme of your campaign. Whereas a game where absolutely every rule system going all the way back to 3.0 content and homebrew stuff is allowed will give a campaign a very different feeling, it's a world where anything can happen at anytime. And both of those will feel very different from a world without magic at all. Just by telling your players what is and isn't available you can dramatically shape the world, and by having these rules reflected, or even broken, during gameplay you make the world feel more alive. In a world without guns if the players suddenly find themselves facing down a poncho wearing gunslinger it becomes an exciting mystery to find out who this person is and where they're from.