This was the first single to be released from Venomous Rat Regeneration Vendor, the fifth solo studio album by former White Zombie frontman Rob Zombie. It was the first Rob Zombie album to feature drummer Ginger Fish who, with guitarist John 5, was part of Marilyn Manson's band.
Asked what the story is behind the album's title, Rob told Revolver magazine: "There's no real story behind it. I just thought of it one day. With every album I've ever made, we'll get it basically one hundred percent done and everyone will go, 'OK, what's the title?' And I'm like, 'I don't know what the fu--in' title is yet. It hasn't hit me.' And then one day I'll just blurt out, 'La Sexorcisto: Devil Music, Vol. 1!' or 'Hellbilly Deluxe!' It's the same with this one. I have it written down somewhere, but I don't remember doing it."
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.