Large language models (LLMs) have shown impressive capabilities across diverse settings, but still struggle as the length and complexity of the context increases. To address this challenge, we propose Thinking Recursively and Dynamically (ThReaD). THREAD frames model generation as a thread of execution that, based on the context, can run to completion or dynamically spawn new threads. By spawning, threads can offload work (e.g., thinking, retrieving information) to child threads, which only return tokens needed for the parent thread to do its work. We apply THREAD in the settings of LLM task solving and question answering, where the dynamic threading allows the model to recursively decompose the given task or question into progressively simpler sub-problems that can be solved by separate child threads. We test THREAD, implemented using a few-shot learning approach, on diverse benchmarks for agent tasks and data-grounded question answering. THREAD achieves state-of-the-art performance with GPT-4 and GPT-3.5 on these benchmarks, including ALFWorld, TextCraft, and WebShop, along with two new benchmarks, DataCommons QA and MIMIC-III ICU QA. In addition, THREAD outperforms existing frameworks by 10% to 50% absolute points with smaller models, including Llama-3-8b and CodeLlama-7b.