Thunder is the first track on Prince's 13th album Diamonds And Pearls, the first album to be credited to Prince and the New Power Generation. Eight months after the album's release, Thunder was released as a 12" single in the UK, as the album's sixth and final single.
While specific recording dates are not known, the song was recorded at Paisley Park Studios, Chanhassen, MN, USA at some point between December 1990 and February 1991.
It was included as the first track on 1 March 1991, and 8 May 1991, configurations of Diamonds And Pearls, where it remained for release.
Additional recording took place on 5 October 1991 (four days after the release of Diamonds And Pearls and the recording of Do U Wanna Rock?, Sweet Baby and Allegiance), to turn the song into a suite suitable for ballet; this version, known as The Thunder Ballet was given to the Joffrey Ballet company for use in their Billboards production (which exclusively used Prince music), released on home video in 1994.