
Originally Posted by
Enkidoh
Ironically enough, Yoshi himself was asked ages ago about this and he basically just said along the lines of
"Use your imagination", meaning there is
no official lore explanation, they just
do somehow. So really, I guess we're just overthinking this.

Thank you very much for the explanation. But that does open up the possibility that retainers may not even be real and could just be some form of a very elaborate dream. We can completely customize them, even down to their speech patterns, after all. The retainer vocates could just be hypnotizing us while we "customize", or dream up, our retainers. Which, if that were the case, they could easily join us in battle in the same vein as Dark Knight's Living Shadow.
Spoiler warning for Shadowbringers.
That would have solved the lore implications of retainers being able to appear on a different world, the First, they would be imaginary after all. But they cemented the fact that retainers cannot appear on the First and you need assistance to interact with them, which makes retainers real. That does make you wonder how they're able to sell things on the Chrystarium markets if they can't physically go there though. Or how you're able to withdraw gil and items from them if they aren't actually there.