One Nite Alone... is the first track on Prince's 25th album One Nite Alone..., but four months before the album's release, on 17 January 2002, the track 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. Later in 2002, a short live version was included as the fifth track on the second disc of Prince's first live album One Nite Alone... Live! (along with recordings of Free, Starfish & Coffee and Sometimes It Snows In April from the same show).
Specific recording dates are unknown, but it is believed that basic tracking took place in Spring 2001 at Paisley Park Studios in Chanhassen, Minnesota (along with the rest of the One Nite Alone... album), during the mastering of The Rainbow Children album. The song's title was the inspiration for the name of the One Nite Alone... Tour which took place in 2002.