The Sex Of It was the first single to be released from Kid Creole and the Coconuts' eighth album Private Waters In The Great Divide (their third album on Columbia Records). It was released a few weeks before the album, and was released in North America, the UK and Europe. The b-side, He’s Takin’ The Rap, was also taken from the album. The Sex Of It featured Prince as a writer, co-producer and performer, although his musical input was uncredited.
The single did not enter the US Billboard Hot 100 Chart, and reached only number 85 on the Billboard R&B Chart while it reached position 19 on the Billboard Hot Dance Music - Club Play chart. It also reached number 29 on the UK Gallup Singles Chart.