Songfacts®:

• On the slow-burning "Sad Day," FKA Twigs tries to salvage a broken relationship.
  
  Take a chance on all the things you can't see
  Make a wish on all that lives within thee
  If you're foolishly in love with me
  It's a fine day for sure
  
  Twigs is full of regret for making her lover sad in the past, but pines for him to give her another chance.
• Twigs released the song on November 4, 2019. She first teased the track two months before during an interview with I-D Magazine when she told the publication:
  
  "It's all on the same note, it's creepy. It's asking, in the monotony of your life, would you take a chance on someone for something bigger? Would you take a risk on love and possibly being hurt again?"
• You're running
  And I tried to make it work before
  You're running
  I made you sad before
  
  The Magdalene album arrived at the end of a tumultuous five-year period that saw Twigs battling ill health and the breakdown of her high-profile relationship with Twilight actor Robert Pattinson. The theme of heartbreak is central to the set; the singer told Apple Music's Zane Lowe that this song's bridge is the most emotional part of the record for her.
• Twigs wrote the song with the Welsh electronic musician Koreless and pop producer Benny Blanco (Katy Perry's "I Kissed a Girl," Kesha's "TiK ToK," Rihanna's "Diamonds" and Justin Bieber's"Love Yourself"). The singer told Apple Music about collaborating with the American hitmaker:
  
  "I love to set myself challenges, and it was really exciting to me, the challenge of retaining my sound while working with a really broad group of people. I was lucky working with Benny, in the fact that he creates an environment where, as an artist, you feel really comfortable to be yourself. To me, that's almost the old-school definition of a producer: They don't have to be all up in your grill, telling you what to do. They just need to lay a really beautiful, fertile soil, so that you can grow to be the best you in the moment."
• Atlanta director Hiro Murai filmed the video in Twigs' hometown of London. Partially inspired by the line "never seen a hero like me in a sci-fi" from another Magdalene track, "Home with You," it sees the singer and co-star Teake play a couple whose emotional conflict is represented by a Wushu duel.
  
  The clip came three years after Twigs began training in the Chinese martial art of Wushu under the guidance of Master Wu of the Shaolin Wushu Centre. "Everything I've previously done with my body, all the training and dancing, has led to this point," she commented.
• "Sad Day" was the first music video directed by Muai since Childish Gambino's 2018 visionary clip for "This Is America."