The recording sessions for this album took place at the Capitol Tower in Hollywood, California.

Where Did They Go was Peggy Lee's first album not to make the Billboard 200 chart since her Grammy-winning hit "Is That All There Is?"

Burt Bacharach and Hal David wrote the song "My Rock And Foundation" specifically for Lee.

Lee performed songs from this album, including "Where Did They Go" and "My Sweet Lord," during her June 1971 engagement at The Frontier Hotel in Las Vegas, Nevada.

[2] After completing work on Where Did They Go, Peggy Lee did not return to the recording studio again until nearly a year later, when she began recording Norma Deloris Egstrom from Jamestown, North Dakota in April 1972.