Midnight Blues was streamed as part of 3rdEye TV broadcast # 6 on 28 June 2013 (a.m.). The version streamed seemed to have been recorded in a single take; it is not known if any other versions of the track have been recorded.
While specific recording dates are not known, it is assumed to have been recorded in June 2013 at Paisley Park Studios in Chanhassen, Minnesota.
The track's opening line, "I lost my job at Mickey D's, gave away too much food for free", was also used in the track Marz, premiered live in early 2014. Since Midnight Blues is largely instrumental, it is possible that Marz was already recorded, and that Prince used the opening lines of the track while jamming on Midnight Blues, although since the lyrics beyond that opening line are different, it could simply be that Prince liked the lyric and decided to reuse it (while Midnight Blues was streamed live once but not mentioned nor performed again).