Sexy M.F. was the first single to be released from Prince's fourteenth album , the second album to be credited to Prince and the New Power Generation.
It was released three and a half months before the album, and only two weeks after the UK release of the previous album's final single, Thunder. The single's b-sides were taken from the previous album, Diamonds And Pearls, and the Diamonds And Pearls Tour was underway at the time of release.
The single reached only number 66 on the US Billboard Hot 100 Chart (the song's explicit content restricted its airplay), and number 76 on the Billboard Hot R&B Singles Chart. It fared better in the UK, where radio stations created their own edits of the track in order to play it; the single reached number 4 on the UK Gallup Singles Chart.