This is a cover of a song by Nashville singer-songwriter Julie Miller. Lambert explained why she recorded it: "I heard it on Buddy and Julie Miller's record. You could easily soak up every inch of everything they ever sing. And I thought that this song would be fun to sing live. I play a lot of live shows, and I always think, I want to make sure I put some songs on here that are gonna be awesome to play live. That's one of them, definitely."
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.