Empty Room was initially released as a members-only download from the NPG Music Club on 4 January, 2003 (the day after similar downloads were made available of Copenhagen, Nagoya, Osaka and Tokyo). As an "experiment", the song was released by an e-mailed link to European members only, as the track was recorded during the European leg of the One Nite Alone... Tour (during a NPG Music Club members-only soundcheck on 25 October, 2002, where Copenhagen was also recorded). The same version was later included as the fifth and final track on Prince's third live album C-Note (a compilation of these five soundcheck tracks).
Two studio versions of the track exist. Initial tracking took place on 4 August, 1985 at the Washington Avenue Warehouse, Eden Prairie, MN, USA (three days after Splash, six days before Sexual Suicide). It was recorded with the Revolution, following an argument with Susanna Melvoin.
In mid-late March, 1992, Prince re-recorded the song at Paisley Park Studios, Chanhassen, MN, USA, as a quieter piano track for the James L. Brooks movie I'll Do Anything (during the same set of sessions as I'll Do Anything, Make Believe and My Little Pill), but the track is not known to have been considered for the movie, and was not included on a planned I'll Do Anything album. In late 1994, Prince made a video for the song, using the original 1985 music. (see Empty Room for details).
It is possible the song was considered for inclusion on the Chaos And Disorder album at this point, although this has not been verified. No studio version of the track has been released.