All Day, All Night is the fifth track on Jill Jones's first and only Paisley Park Records album Jill Jones. Although Jill Jones shared official writing credits, the song was written solely by Prince and is registered at the Library of Congress as having been written by Joey Coco.
Basic tracking for Prince's original version took place during Prince and the Revolution's concert on 7 June 1984 at First Avenue in Minneapolis, Minnesota, during the same show where the basic tracks for Our Destiny and Roadhouse Garden were also recorded (this is listed in the unreleased versions section as it was used as a basis for the released track). Prince added further instrumentation and Jill Jones added vocals at a later date (likely in July 1986, although this is unconfirmed).
In 2009, Prince used the moniker All Day, All Night for two concerts in Paris, France on 11 October: a 5pm show (All Day) and a 10pm show (All Night); he also performed the song and used chants from the song several times during the shows and others that followed later that week; it remains unclear if there was a further purpose behind this use of the song's name.