Hombre Lobo is a concept album about a werewolf who experiences various types of desire. The anti-hero acts in different ways, for instance in this song he is gentle but in "Fresh Blood" he is menacing. Eels' main man Mark Oliver Everett explained to The Sun June 5, 2009: "They're different attempts at making a sales pitch from this (werewolf) character to the object of his desire. He's trying to convince her that he's THE guy. Sometimes he takes a more tender approach, sometimes he gets frustrated and loses his cool and things get a little ugly."
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.