Nick Jonas told Time Out how this song was inspired by a James Bond movie. He explained: "The funny thing about 'Vesper's Goodbye' is that I was actually writing that song with a friend of mine [P.J. Bianco] who I've written a lot of songs with. We were in a studio, and one of the TVs was playing James Bond, Casino Royale. We're watching it, and it's the scene where she's underwater, this emotional scene, and without any music. We looked at each other and said, 'There's so much emotion in that scene, that would make a great song.' We had just listened to the Kings of Leon record and were inspired by that, so we started playing this with that visual going on in the background, and it just worked. It's kind of fun to tell people that, because they're like, 'What happened in your life?' And I'm like, 'James Bond!'"