David Bowie explained to the Mail on Sunday June 29, 2008) why he wrote this exploration of a wife-basher's mentality: "I decided to write something on the deeply disturbing subject of wife abuse in the manner of a short-form drama. I had known more instances of this behavior than I would have preferred to have been made aware of and could not for the life of me imagine how someone could hit a woman, not only once but many, many times."
In the same Mail on Sunday interview Bowie discussed the instrumentation and his vocal on this song: "By virtue of the instrument's classical baggage, Simon House's violin touches a vein of pure Goth on this recording. There's a numbness to the whole rhythm section that I try to duplicate with a deadpan vocal, as though I'm reading a report rather than witnessing the event. I used to find this quite easy to accomplish." Simon House is an English violinist and keyboard player who is probably best known for his work with Hawkwind. He performed the violin solo in the space rock band's hit single "Silver Machine."
The lyrics for "Mary, Did You Know?" were written by Christian singer and comedian Mark Lowry, after his pastor asked him to write a Christmas musical for their church. Southern gospel musician Buddy Greene later added music to his words.