This song was originally on Melonie Cannon's 2004 debut self-titled album. Cannon is the daughter of Buddy Cannon, who has produced albums and written songs for Reba McEntire and other Country artists. McEntire explained to Great American Country why she decided to cover it: "When I was working with Buddy Cannon years ago, he gave it to me. I love Melonie's voice. 'Nothing to Lose' was one of those songs that I said, 'Man, if I could ever record that?,' so I did. I told everybody, 'I want to feature the band on this,' so we let the band play two or three times. Everybody had an instrumental. It's about a woman leaving on the bus going down to Georgia. She doesn't know where she's going and doesn't know what lies ahead, but she doesn't care. It's another strong woman song."