This was recorded at Keith Richards' villa in the South of France while The Stones were on their "exile" to avoid taxes in England. The band would often sleep most of the day, go to the casinos in nearby Monte Carlo, then work on the album until morning.
Bobby Keys played the sax solo on this track. An outlandish personality that fit in well with the band, he joined The Stones in France for the recording of Exile On Main St. and became a major contributor to the album.
The lyrics are very difficult to understand, maybe because they're very random. In an interview with Uncut Magazine April 2010, Mick Jagger was asked about the lyric "million dollar sad." He replied: "That song was done in cut-ups. It's in the style of William Burroughs, and so-on. 'Million Dollar Sad' doesn't mean anything. We did it in LA in the studio. We just wrote phrases on bits of paper and cut them up. The Burroughs style. And then you throw them into a hat, pick them out and assemble them into verses. We did it for one number, but it worked. We probably did it 'cos we couldn't think of anything to write."
Richards, The Stones' rhythm guitarist, played bass on this.