World building is a type of fictional genre in its own right but having flesh and blood humans (or whatever other species) doing stuff in it brings world building to life.
While I have my own approach that works for me I don't believe there is any one correct way to do it. Story first or world building first? Experiment and see what works for you.
Build the world around a story or character, and then flesh it out as needed. The type of story or character should tell you what you will need to know for your world.
So far, my world is just one city, a city-state to be exact, and it is fairly large in both area and population so I can hide all sorts of secrets and introduce a variety of characters in one location.
My main character is a thief, so I figured he would need plenty of places he can steal from and hide in. All I know about the world beyond the city is that the protagonist is from a foreign country and came to the city to make it big.