Breathe was released as an mp3 as part of NPG Music Club Edition # 12, the final edition of the first year of the NPG Music Club. At the time, the track was announced as coming from the forthcoming album Madrid 2 Chicago (presumably planned for an NPG Music Club members' release), but this album was not released.
While specific recording dates are not known, it is believed that basic tracking took place in 1998, most likely at Paisley Park Studios in Chanhassen, Minnesota. The released version leads directly from the track Madrid 2 Chicago (released on the same day, and also planned for Madrid 2 Chicago), indicating that they may have been recorded during the same sessions. The track was credited upon release to , even though it was released after Prince reverted back to his original stage name, as the track was recorded while using the name .
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