Another Lonely Christmas was released as the b-side of the single I Would Die 4 U, the fourth commercial single to be released from Purple Rain, released worldwide. It was also included as the a-side on the promotional release Syndicate, available in Japan only at around the same time. In 1993, the track was included as the 17th track on The B-Sides compilation album.
Initial tracking took place on 18 February 1984 at Sunset Sound, Hollywood, CA, USA (five days after Noon Rendezvous, the day before recording Pop Life). Although credited to Prince and the Revolution, only Prince contributed to the track.
As the lyrics state "Last night, I spent another lonely Christmas", it is appropriate that the only time Prince has played this song live was on 26 December 1984 in St. Paul, MN, USA.