Let's say your D&D/OSR campaign involves running a bunch of different modules written by a bunch of different people - for example, let's say you're like me and you tend to use a whole bunch of LotFP adventures in the same campaign. A lot of the setting elements presented to the players - deities and other religious or mythological forces, factions, magic items, political and social elements, locations, cultures, the state of the economy, the level of technology available, etc. - might seem random, unrelated, or even contradictory to your players. You might have a dungeon built by Cthulhu-worshipping ancient serpent people who ruled the world in prehistoric times in one adventure, then have satan-worshipping cultists who summon Biblical demons (or angel-worshipping cultists who summon Biblical angels, because that could be REALLY scary) in the next. Or you may have an adventure which suggests that elves come from inside the Hollow Earth, and then another adventure which provides evidence that they're aliens from another dimension.
In this kind of situation, I bet there's a good chance that one or more of your players will ask stuff like "How does any of this make sense? How does this all fit together? Does any of this fit together? What kind of weird-ass setting is this? Is anything consistent around here? What the fuck is going on?"
Now, the obvious solution to this problem (assuming you see it as a problem, which you don't have to, especially if you're running either a purposefully goofy campaign or a purposefully gonzo/pulpy one) is to prevent it from happening in the first place. You could come up with the connections between the major setting elements of your campaign ahead of time and figure out a way to make them all "cohere," historically and/or metaphysically. (You could also do the same thing "after the fact," spending some private time between adventures making sense of the world you're building.) A related tactic is to change details of the adventures ahead of time so that they fit together in your setting in the way you prefer or in a way that you think makes sense. These are the approaches I lean towards in my current campaign, "Lamentations of the Fallen Lords." Another way to prevent the problem from happening is to be more selective about which adventures and other materials you use in the campaign, being careful to only use stuff that seems to make sense when combined into a greater whole at the table.
But here's another way of dealing with the problem, which I've heard suggested here and there, and which I'd love to do more: When your players ask those kinds of questions, respond with "Well, what do YOU think is going on? Tell me what you think you've figured out so far. Give me your theories." And then, of course, listen to what they say, take notes, steal the best stuff (in terms of either being the coolest individual possibilities or just the ones that make everything cohere in the most satisfying or interesting matter), and pick some of their theories to be explicitly wrong, too, in part or in whole, just to keep the mysteries fresh and offer some future surprises. Give them the potential joy of discovery in the future as they unravel the facts and innuendo and find out what they were right and wrong about.
Furthermore, this could be a fun way of engaging in collaborative world-building without making a big, complicated...thing out of it. Your players might not even realize this is what happened, at least not at first. Consider it surprise collaborative world-building.
I might not be a scientist, but as a player I think there's nothing like coming up with a hypothesis and then proving it right. There's also nothing like thinking you've figured everything out and then being blindsided by something unexpected. Some of the best things about playing a game like D&D are the emotions you get: pride at solving a problem or mystery and being proven right, wonder at the strange things you discover exploring a magical world, relief (and more pride) at overcoming an obstacle that seemed insurmountable, fear when the DM shakes their head and starts rolling a bunch of dice, joy at the fact that somebody brought fresh cookies to tonight's game.
P.S. No matter what solution you choose, if any, it's still up to the players
to figure out the greater backstory of the setting through play, if
they want to investigate it - I think there's usually no need to spill
the beans and subject the players to some kind of potentially boring
infodump just because somebody asked you out-of-character to explain