Sullivan's Travels is a satire on the film industry, following a famous Hollywood comedy director (Joel McCrea) who, longing to make a socially relevant drama, sets out to live as a tramp to gain life experience for his forthcoming film. Along the way he unites with a poor aspiring actress simply called "The Girl" (Veronica Lake) who accompanies him on his journey. (Sullivan says in the film, "There's always a girl in the picture. Haven't you ever been to the movies?") Sturges wrote the film with Joel McCrea in mind, and Barbara Stanwyck was originally considered for "The Girl". The studio suggested a number of other actresses, including Ida Lupino, Lucille Ball, Ruby Keeler, and Frances Farmer. But Sturges decided on Lake after admiring her work in "I Wanted Wings" (1941).

Veronica Lake was six months pregnant when shooting began on this film, and, according to her autobiography, refrained from telling director Sturges until after filming began. Sturges was furious when he learned of it and, according to Lake, "it took physical restraint to keep him from boiling over at me." Sturges consulted with Lake's physician regarding the strenuous nature of the part. Former Rose Bowl queen Cheryl Walker performed as Lake's double. Near the end of the film, Sturges himself can be glimpsed on camera behind "The Girl" as she reads the newspaper on a movie set. Production took place from June 12 to July 22, 1941, and her daughter Elaine Detlie was born on August 21, 1941.

Sturges wrote the script for "Sullivan's Travels" as a response to the "preaching" he found in other comedies "which seemed to have abandoned the fun in favor of the message." The film opens with the following dedication: "To the memory of those who made us laugh: the motley mountebanks, the clowns, the buffoons, in all times and in all nations, whose efforts have lightened our burden a little, this picture is affectionately dedicated." Scripts in the Preston Sturges Collection at the UCLA Special Collections Library reveal that the above dedication, with the inclusion of the underlined phrase, "whose efforts lightened our burden a little in this cock-eyed caravan...", was initially the epilogue to the film, to be spoken by "Sully" as if it were the prologue of the comedy he plans to make. Sturges originally intended for the film to open with the following prologue: "This is the story of a man who wanted to wash an elephant. The elephant darn near ruined him."