This was one of the first songs Madina Lake worked on for World War III. Frontman Nathan Leone told Rock Sound magazine: "Mateo [Camargo, guitar] always comes up with these tapping bits that I feel define a lot of our songs. We tracked a lot of this one in a house we rented in Florida when we were recording The Dresden Codex EP."
Nathan Leone explained the song's meaning to Rock Sound magazine: "At the time I think the screws were starting to come loose, so psychologically we were all over the place. This song is about wondering in a positive way as opposed to a negative one. If you constantly wonder what could go wrong, something will. If you wonder what you could become or achieve or fulfill, that will manifest as well."
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.