The album follows the themes of loneliness and mental health, as well as social commentary on the conditions faced by young black people in society.

[4] On 6 September 2020, Dave participated in Soccer Aid alongside several celebrities including Chunkz and Yung Filly.

[5] Following a 17-month hiatus, in April 2021, Dave released two songs as a two-track EP, "Titanium" and "Mercury" featuring Kamal, labelled as leftovers from his second album.

[7][8] During Dave's interview with GQ, he revealed that the title was inspired by Hans Zimmer, with it coming from a line that the composer had said to him during a conversation.

[14][15] The album incorporates elements of UK drill, afrobeats,[16] political hip hop, chipmunk soul, and gospel music.

The album's cover art is inspired by and incorporates French painter, Claude Monet's 1872 painting, Impression, Sunrise.

During Dave's interview with GQ, he explained in depth how the album's themes play into its artwork:[9]Migration is a massive thing for me – boats, freedom of movement.

The artwork represents that – the journey – all at the same time, as delivering life from the perspective of someone who has just come off the back of all this... It’s a massive change in character.

[15] Reviewing the album, David Smyth of the Evening Standard called Dave "the greatest rapper working in Britain today".

[17] In a five-star review, Kyann-Sian Williams of NME wrote that the album is a "stunning sequel [that] lives up to his debut".

[29] Clash's Robin Murray wrote that We're All Alone in This Together "thrives on openness while refusing to lay down easy answers" and that "it finds Dave asking tough questions, both of himself and the world around him."

Murray continues to write that the album is "a step forwards from his debut, it feels simultaneously more diverse and yet more unified" and that it is "held together by the intensity of Dave’s vision, and the singularity of his purpose.

"[16] Writing for The Daily Telegraph Thomas Hobbs begun to write that the album "digs even deeper into the rapper’s subconscious, giving his fans a cause-and-effect insight into why he thinks the way that he thinks," while the meaningful content of the album "gives you a personal stake not only in Dave’s story, but that of so many other immigrant families, showing the human beings behind the statistics and defining why those with nothing in their pockets might be tempted by crime."

"[24] David Smyth from Evening Standard gave a positive review of the album, noting that Dave is "wrestling all kinds of issues, finding it hard to reconcile the glitzy lifestyle he now enjoys.

It made for the biggest UK album launch of 2021 at the time of release, beating out Olivia Rodrigo's Sour which sold 51,000 first week.

Additionally, it was the biggest first week sales number for a UK rap album since Tinie Tempah's Disc-Overy, which was released in October 2010.