First, they worked with Tucson's neo-lounge combo Friends of Dean Martinez, playing marimba, cello, accordion, and vibraphone in addition to their usual work on bass, guitar, and drums. After a split with Friends of Dean Martinez founder Bill Elm in 1996, the duo began to get session work with Barbara Manning, Richard Buckner, Victoria Williams, Michael Hurley, Bill Janovitz, Vic Chesnutt, and Lisa Germano (as the trio OP8). Burns and Convertino also experimented on their own with their new instruments in a home recording studio in 1996, releasing their debut CD, Spoke, on Germany's Haus Musik Records. After signing with Quarterstick/Touch & Go Records in Chicago, they released The Black Light in 1998 and The Hot Rail in 2000.

For their 2001 EP Even My Sure Things Fall Through, Calexico enlisted the support of soon-to-be members Martin Wenk, Volker Zander, and Jacob Valenzuela, as well as members of Mariachi Luz de Luna. In 2003, the band issued its most cohesive material to date with Feast of Wire. An EP of covers, Convict Pool, followed a year later. The concert DVD World Drifts In: Live at the Barbican London was also released in 2004, and the group spent the rest of that year and 2005 collaborating with artists such as Nancy Sinatra, Neko Case, Laura Cantrell, and Iron & Wine's Sam Beam, with whom they recorded In the Reins. Along with touring with Iron & Wine in support of that album and appearing in a cameo in Michael Mann's film Collateral, Calexico found time to record with producer J.D. Foster. The results were the band's 2006 album, Garden Ruin, Calexico's most song-oriented release to date.

Early in 2007, Calexico appeared at Lincoln Center as a part of the venue's American Songbook Series, and performed at New York's Beacon Theatre that fall as part of a Bob Dylan tribute. During that time, Burns and Convertino also worked on new material, working with some of the same musicians they collaborated with on Feast of Wire as well as Iron & Wine's Sam Beam. In summer 2008, one of Calexico's new songs, "Crystal Frontier," was beamed into space as wake-up music for the astronauts on the Space Shuttle Discovery. That fall, Carried to Dust arrived. Two years later, the band toured with Arcade Fire and released the soundtrack to the documentary Circo. In 2011, their song "Slowness" was played as the wake-up song on the space shuttle Endeavour's final flight, and was dedicated to astronaut Mark Kelly by his wife, congresswoman Gabrielle Giffords. Their 2012 album Algiers was recorded in and inspired by New Orleans.