Vocalist Hamilton Leithauser told the story of this song in an interview with Express Night Out: "That song was probably the most worked on song on the record, which is weird because it ended up just being this raw, very simple thing. It's just the same part over and over and then we have the big end. We did a country version. We did one that sounded kind of like Sesame Street music. We did one that was rock and really just trying to get everybody involved. And then in the end ... I had the idea for [a] groove change. We recorded that, and then we said, 'Let's just not talk about it until we get to Texas.' So then we went to Texas and it was a one shot deal: Either it works or it doesn't. So we played the recording. Then immediately everybody started playing, hit record and just recorded all of the song. And it was like a gift from the Lord."
New Order took the title for "Blue Monday" from an illustration, which read "Goodbye Blue Monday," in the Kurt Vonnegut book Breakfast Of Champions. The image referred to the invention of the washing machine improving housewives' lives.