Coppola was drawn to Vegas for its blend of consumerism and magic. She became fascinated with the lives of the people behind the Vegas illusion. In 2020, Coppola connected with Kate Gersten, whose unproduced play about showgirls sparked her interest. Gersten’s play, inspired by the decline of the Jubilee! show, revealed the artistry and daily struggles of showgirls, especially as such iconic productions faded due to newer attractions like Cirque du Soleil. Gersten, who had witnessed Jubilee! in 2013, sought to understand the lives of these women and the history of showgirl culture, learning from performers and experts like Diane Palm, who reflected on the show's roots in French cabaret and its role in American entertainment.

After releasing Mainstream in 2021, Gia Coppola decided to make The Last Showgirl independently with producer Robert Schwartzman, choosing a modest budget for creative control. The film adapts Kate Gersten's play closely, focusing on its intimate character study format.

Gersten and Coppola were committed to portraying the showgirl community authentically, particularly the themes of aging, beauty, and societal expectations. The film follows Shelly, a dancer in her 50s, whose long-running revue Le Razzle Dazzle is closing. At a career crossroads, Shelly struggles with single parenthood, her distant relationship with her daughter, and ageism in a beauty-driven industry. Coppola, reflecting on her own experiences as a working mother, empathized deeply with the mother-daughter dynamic in the script.

Ageism and the disposability of older women in entertainment are central themes, as Shelly faces rejection in her search for a new job. Coppola noted the harsh realities women face in a culture that discards them quickly.

In early 2023, while casting, Coppola found the perfect Shelly in Pamela Anderson, after watching Pamela, A Love Story. Inspired by Anderson’s vulnerability, optimism, and willingness to defy age-related expectations, Coppola saw her as the only one who could embody the role. Anderson's passion for classic cinema and her candid nature made her a natural fit.

Pamela Anderson was thrilled when Gia Coppola reached out to her for The Last Showgirl, feeling a strong connection to the role of Shelly, a showgirl striving to be recognized for her artistry, not just her beauty. Anderson, who had spent much of her career in the spotlight’s superficial gaze, saw Shelly’s journey as an opportunity to show deeper layers of herself. She related to Shelly's conflict over aging, motherhood, and balancing personal and professional lives, especially her complex relationship with her estranged daughter, Hannah.

Once Anderson was on board, Coppola recruited Jamie Lee Curtis to play Annette, Shelly’s hard-living best friend. Curtis, despite a busy schedule, eagerly took on the role, researching Las Vegas showgirls and embodying Annette’s toughness, bravado, and vulnerability. Curtis connected with the story’s themes of women being discarded by society once they age, and the struggles women face in balancing careers and motherhood.

Kiernan Shipka and Brenda Song play younger showgirls Jodie and Mary-Anne, with Shipka bringing her dance background to Jodie’s journey of self-discovery. Jodie performs a sexualized routine during an audition, triggering shame as she loses her innocence. Brenda Song portrays Mary-Anne, a disillusioned showgirl stuck in a mundane routine, struggling with rejection and fading passion. Billie Lourd, as Shelly’s estranged daughter Hannah, drew on her own Las Vegas experiences to enrich their mother-daughter dynamic. Dave Bautista plays Eddie, a stage manager with a past relationship with Shelly, bringing depth and empathy to the character’s unspoken bond with her.

The Last Showgirl began production on an 18-day shoot in Las Vegas in January 2024. Backstage and casino locations were filmed at the Rio Hotel and Casino. Las Vegas itself is a character in the film and its singular personality informed how Coppola arrived at the film’s visual language. Most films set in Vegas take place on the Strip, generally inside the hotels and casinos, but Coppola wanted the film to pay attention to the less familiar textures of the city that had always drawn her eye. Rather than look at other films for reference, she drew visual inspiration from photography, documentaries and writings about Las Vegas by the late art critic Dave Hickey. She found herself filming many scenes in daylight, including several sequences shot on a Strip largely devoid of crowds. “The film became more of a daytime piece because we’re following these characters in their day-to-day lives,” she observes. “I think there's something really sobering and interesting about seeing it in the daytime. The glitter, the facade, the illusion isn't up yet.”

The Last Showgirl is Coppola's third collaboration with cinematographer Autumn Durald Arkapaw. They shot on 16mm film to capture a raw, grainy quality, forgoing traditional lighting to focus on handheld shots and custom anamorphic lenses. A key moment was Annette’s spontaneous dance to “Total Eclipse of the Heart” on a podium, shot quickly after an impromptu idea sparked by the Rio’s “bever-tainers.”

The production received strong support from Las Vegas, with Dita Von Teese advising on the authenticity of the showgirl costumes. The dancers wore actual costumes from “Jubilee!”, designed by Bob Mackie, which were challenging to manage due to their weight. Coppola worked to capture the showgirl world as realistically as possible, honoring the art form with input from former “Jubilee!” dancers.

The film’s wardrobe also reflects character identity, with Shelly's clothes representing her connection to the 80s/90s. Coppola worked with her mother, costume designer Jacqueline Getty, to balance nostalgia with the film's surreal atmosphere.

Composer Andrew Wyatt created a haunting score to evoke the classic Las Vegas of the 1960s, capturing both nostalgia and melancholy. He collaborated with Lykke Li and Miley Cyrus to write the closing song, “Beautiful That Way,” which symbolizes beauty’s fleeting nature through a metaphor of a rose.