During 2008 and 2009, the group wrote and recorded music in several locations, including Buenos Aires, Melbourne, Berlin, New York, and Paris, collaborating with other musicians in the process.

[4] Much of the music the group had created during the time would become Grey Oceans, a body of work which they aimed to release in 2010 as their fourth studio album.

[22] Robert Ferguson of Drowned in Sound, in a review assigning the album a rating of 6 out of 10, described Grey Oceans as a "mixed bag of a record" in which the "standout moments" of certain tracks "stick in the mind, but … sound very much isolated by the [poor] quality of the songs surrounding them", adding that many tracks "are decent songs, but nothing more" and that "it’s hard to know what to think of [Grey Oceans], apart from being slightly underwhelmed".

[3] In contrast, Lauren Mayberry of The Skinny, in a review assigning the album a rating of 4 out of 5 stars, described Grey Oceans as "characteristically enchanting and delightfully weird", praising the Casady sisters' "ethereal vocals" (which "weave around spoken word sections, eastern percussion, jazz piano and children's toys – complemented by harps and slithering strings"), comparing it to that of Icelandic musician Björk.

[22] Sam Shepherd, in a review for MusicOMH, added that the album cover "is quite possibly the worst artwork to grace a record since Black Sabbath's Born Again (1983), or Rod Stewart's An Old Raincoat Won’t Ever Let You Down (1969)", stating that it serves "as a forewarning of the weird world of CocoRosie".