The Cosmere is an interconnected universe created by Brandon Sanderson. It is the setting for most of his fantasy and science fiction, including the Mistborn, Skyward, and Stormlight Archive series and the novels Elantris (2005) and Warbreaker (2009). Most of these works feature standalone plots and can be read without any knowledge of how the Cosmere works; however, there is an overlap between some characters and concepts in many of these books. Hoid, the narrator of Yumi and the Nightmare Painter, is one such character. He makes an appearance in most of the Cosmere books and is often depicted as a storyteller, especially in the Stormlight Archive series. His role as the narrator of this book fits into this pattern.

While the magic systems of each world within the Cosmere differ, most have similar fundamental concepts. One of these is the idea of three realms: the physical realm (a planetary system), the cognitive realm (the world of thought and imagination), and the spiritual realm (the world of concepts or ideas in which everything exists as essence). The Cosmere universe is composed of matter, energy, and Investiture, with Investiture acting as a form of spiritual energy.