The band is named for the border town of Calexico, California, and has been described by some as "desert noir".
Calexico had its origins in 1990 when Joey Burns, who was studying music at the University of California, Irvine, met up with John Convertino, who was playing drums with Howe Gelb in Giant Sand. Burns joined them, after first playing upright bass on a European tour.
Giant Sand moved to Tucson, Arizona in 1994. Burns and Convertino formed the Friends of Dean Martin (later the Friends of Dean Martinez) which scored a record deal with Sub Pop. However, the pair split up with Bill Elm, the co-founder of The Friends of Dean Martinez in 1996. The band subsequently became a kind of indie rhythm section for hire, working with the likes of Victoria Williams, Bill Janovitz, Barbara Manning and Richard Buckner before forming Calexico.

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