Have unrevealed backplot and setting
Have more backplot and world info than you reveal to your players. The existence of the information will subtly give the game a depth and coherence. Humans seek answers to mysteries, so your players will naturally explore the edges of what you tell them the most. They'll take whatever information you do give them and wring it for answers. Having hidden information gives you some breathing room if you need to improvise. Furthermore, if the backplot to something makes sense in your head, players are more likely to detect a pattern, even if they can't determine it. Patterns make the world feel logical and survivable. Relatedly, don't expose too much to the players. A sense of wonder and surprise is important. The players don't want to slog through a fictional history lesson. Reveal just enough backplot and setting, but nothing more.