Recorded during his Satellite Flight: The Journey to Mother Moon sessions, but not included on the album, Kid Cudi finally dropped the track on on March 3, 2015 on Soundcloud.
Co-produced by longtime collaborator Dot Da Genius and Cudi himself, the song finds the Cleveland-born artist singing about love being the cure to loneliness.
The song samples Ratatat's "Sunblocks." The New York electro duo were, along with MGMT, responsible for Cudi's Man On The Moon: The End Of Day track "Pursuit of Happiness."
Cudi wrote on the Soundcloud site: "Something I made during the SF sessions. produced by me, keys by Dot. Sample is from one of my favorite Ratatat jams 'Sunblocks.' And love to Evan and Mike for allowing me to release it for you. Hope it brings you some peace if you have a lonely heart out there. Byeeeee."
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.