Costello discussed the storyline of this T Bone Burnett collaboration during a conversation with Odile W. Husband documented on Elvis' website. Said the singer: "He is a man who has been left by his lover for a more dangerous man and so, to compete with his rival, imagines himself the worst he can be, a gunrunner, a dissolute painter, a brigand after dark. Even in his wildest imaginings, he ends up in a defeated army, sitting in a locomotive yard without any boots."
This was the last piece recorded by Costello and his backing band in Nashville. He recalled: "The band had barely finished writing out their numbers charts when we hit 'Record.' In truth, I finished harmonizing the final refrains, while the players were already at their music stands. This is the kind of high wire act that doesn't always come off but on this occasion, everyone was simply listening to a story and responding. It is one of my favourite ensemble performances on the record."