Named after the 1963 romantic-comedy film starring Doris Day, "The Thrill of It All" finds Bryan Ferry grappling between his rock-star status and his desire to lead a more settled home life. "Well, you have to forfeit certain things if you're indulging in the sort of work that I do," the Roxy Music singer-songwriter elaborated to Melody Maker on July 12, 1975. "You don't have time for domestic comforts – like being happily married. A domestic life is something I don't seem to be able to get together at the moment. It's a very fast life I lead. There's so much work I set myself to do. You see I feel that I started very late and that I have to make up for lost time."
This song quotes the final line of Dorothy Parker's poem "Resumé," from the American author's 1962 collection Enough Rope. The line, "You might as well live," captures the darkly humorous tone of the poem, with Parker listing various methods of taking her own life before concluding it's easier for her to go on living.
"The Thrill of It All" was released as a single only in the US. Even though it failed to chart, its accompanying album, Country Life, did reach a peak of #37 on the Billboard 200. Nevertheless, the album cover depicting two models, Eveline Grunwald and Constanze Karoli, posing in lingerie in front of a tree proved extremely controversial in America. Consequently, Country Life was initially issued in an opaque sleeve, while a later pressing featured an alternative shot of the tree minus the women.
In 1995, Roxy Music released a four-disc box set named after this song. The first three discs consisted of songs from the band's eight studio albums. The fourth disc consisted of a mixture of remixes and rarities, including "The Thrill of It All" B-side "Your Application's Failed," an instrumental notable for being the sole piece of music composed by Roxy Music drummer Paul Thompson.