Songfacts®:

• St. Sebastian is a famous martyr, typically depicted tied to a tree with arrows coming out of his body. He shows up in many art forms and is a popular reference in books, TV shows and movies, which is how he ended up in the song: Of Montreal frontman Kevin Barnes had been seeing his name a lot in the media he was consuming.
  
  The song itself is about a specific person. "It's a pretty hateful song about a person in my life that was making all these posts about me on social media and spreading all this bulls--t about me," Barnes told Songfacts. "St. Sebastian has been popping up in a couple of movies I've watched and some books that I was reading, and the idea of St. Sebastian as this martyr - a sort of saintly, angelic human that's martyred by these evil people - it seemed relevant to what I was imagining."
• The song isn't specifically about religion, but the subject does come up in the line "zeros and zeros is the Lord's work, but if you do it, He gets annoyed." Kevin Barnes explained in his Songfacts interview: "There's a tricky sort of logic happening in that line where it's basically saying that God does absolutely nothing, but if you try to take responsibility for your life, there's almost nothing you can do to control your destiny in some ways: You could wake up one day and have cancer, or you wake up one day and everyone you love is dead, and there's very little you can do.
  
  So it's a cheeky way of pointing out that you have just as much ability to control your own destiny as this mythological deity, but people have superstitions and fear taking control of their own lives. They'd rather just put it in the hands of something that doesn't even exist."