Moby began work on Wait for Me in 2008. He recorded the entirety of the album in his home studio in the Lower East Side of Manhattan, New York, with a set-up he described as "a bunch of equipment set up in a small bedroom". Discussing the start of the album's recording, Moby said:
I started working on the album about a year ago, and the creative impetus behind the record was hearing a David Lynch speech at BAFTA, in the UK. David was talking about creativity, and to paraphrase, about how creativity in and of itself, and without market pressures, is fine and good. It seems as if too often an artists or musicians or writers creative output is judged by how well it accommodates the marketplace, and how much market share it commands and how much money it generates. In making this record, I wanted to focus on making something that I loved, without really being concerned about how it might be received by the marketplace. As a result, it's a quieter and more melodic and more mournful and more personal record than some of the records I've made in the past.
Moby and David Lynch discussed the recording process of the album on Lynch's online channel, David Lynch Foundation Television Beta. Lynch also directed the music video for "Shot in the Back of the Head," the first single from the album.
Ken Thomas mixed Wait for Me. According to Moby, "mixing the record with him was really nice, as he's creatively open to trying anything." For example, Moby and Ken Thomas recorded an old broken bakelite radio through some broken old effects pedals, which became the track "Stock Radio."