The idea for the film originated during a therapy session Lars von Trier attended during treatments for his depression. A therapist had told Trier that depressive people tend to act more calmly than others under heavy pressure, because they already expect bad things to happen. Trier then developed the story not primarily as a disaster film, and without any ambition to portray astrophysics realistically, but as a way to examine the human psyche during a disaster.[3]

The idea of a planetary collision was inspired by websites with theories about such events. Trier decided from the outset that it would be clear from the beginning that the world would actually end in the film, so audiences would not be distracted by the suspense of not knowing. The concept of the two sisters as main characters developed via an exchange of letters between Trier and the Spanish actress Penélope Cruz. Cruz wrote that she would like to work with Trier, and spoke enthusiastically about the play The Maids by Jean Genet. As Trier subsequently tried to write a role for the actress, the two maids from the play evolved into the sisters Justine and Claire in Melancholia. Much of the personality of the character Justine was based on Trier himself.[4] The name was inspired by the novel Justine by Marquis de Sade.[5]