Adele explained to the Sun newspaper January 18, 2008 about this Mark Ronson collaboration: "It's about being cheated on. Wishing you were the other girl. I love the tune. I've loved Mark since his first album Here Comes The Fuzz. But I didn't know he'd got into producing for other people. Then when Amy's (Winehouse) record and Lily Allen's 'Littlest Things ' came out, I remembered hearing about his covers album. I wrote my song 'Cold Shoulder' and my label XL were really keen to keep it how it was. But I thought it needed a beat because the album was lacking a real upbeat club tune. And I couldn't think of anyone else but Mark Ronson to do it."

Adele performed this song, along with Chasing Pavements, when she was the musical guest on the October 18, 2008 episode of Saturday Night Live. The show got a huge audience thanks to an appearance by the political candidate Sarah Palin, and for many Americans, it was their first look at the British singer. Adele began climbing the iTunes chart immediately following the show.

Adele wrote this with Sacha Skarbek. The British songsmith sees his role as a songwriter as "filling in the gaps" rather than creating something from scratch. He recalled to Q magazine June 2012 his collaboration with Adele on this song: "Adele was pretty reluctant. She was like, What the hell am I doing here with this songwriter guy? But once the barriers had come down we were able to bond. She said, 'Well, I've got one little idea' and bang! - we knocked out 'Cold Shoulder' in three hours."