This song is a full-on-rap that deals with issues of prejudice and unity. The Sun July 4, 2008 asked Tricky if he'd ever done anything like this before. He replied: "That was a new thing, even though the start of my music career was based around rap. I enjoyed being political on that track. It's me trying to understand what the f--k is going on. I could be Muslim, I could be Jewish, I could be a Ku Klux Klan guy - but we all bleed. We're all the same but we don't have anything in common. I grew up in a mixed-race family and, at Christmas, saw people who were very white and very dark. To us, it was normal. I think it's strange how we get separated by religion or color."
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.