This was penned by the UK based Rock, Roots and Pop producer Nigel Stonier and recorded by him on his 2002 Brimstone and Blue album. He explained the song's meaning to Mojo magazine's Fred Dellar: "Somewhere around August 2001 I had a bizarre dream that I had written a song called 'Josef's Train.' I had no idea why the title had appeared or who Josef was, but I figured it must mean something so I decided to write the song, It was only with time that I even began to figure what it could be about. I think it's about starting to feel betrayed by someone whom you trusted but now see bad signs in, or even more possibly a political leader when the greed takes over...rather than do too much pondering I decided to let the song remain just a little unresolved.
Stonier has been Thea Gilmore's producer of choice and ongoing musical and romantic partner since the mid 1990s. She recorded this song in 2004 for her album, Loft Music, but Stonier explained to Fred Dellar that it wasn't her original choice. "Thea wasn't actually even planning to record it initially," he said, "but a version of Kirsty MacColl's 'Free World' wasn't coming together too well during the Loft Music sessions. She needed a replacement and she went with that one."