It was published with a cover date of September 1995. The following issue of The Sandman's regular series was #72, in which Dodds appeared out of costume as an epilogue to the events in this book. Chronologically, The Sandman #72 happened long after Sandman Midnight Theatre, which occurred during Dream's imprisonment. In terms of Sandman Mystery Theatre, Sandman Midnight Theatre occurs between the storylines "The Python" and "The Mist" (after issue #36, and before issue #37).
Following the events of "The Python," Dian left New York City for London. Dodds uses a murder case as an excuse to follow her, and he finds her working at a church's soup kitchen. While Belmont deliberately avoids Dodds, both end up, for different reasons, at a party held by Roderick Burgess, the man who imprisoned Dream in his cellar.