Written specifically for the ending credits of the 1996 film William Shakespeare's Romeo + Juliet. Although not included on either of the two soundtrack albums at the request of Thom Yorke. It was heavily inspired by Frédéric Chopin's Prelude No. 4 in E Minor.

The moment in the film when Claire Danes (as Juliet) holds a gun to her head was the actual inspiration for 'Exit Music'. Thom Yorke also had the 1968 adaptation of the play (Romeo and Juliet) in his head:

'I saw the Zeffirelli version when I was 13 and I cried my eyes out, because I couldn't understand why, the morning after they shagged, they didn't just run away. The song is written for two people who should run away before all the bad stuff starts. A personal song'.

The director of the movie, Baz Luhrmann, revealed in the DVD commentary that he believes it is one of the greatest film exit songs ever written.

The song is mostly very sombre and quiet, but builds to a climax at the end as the heavily compressed drums enter. In live performances, Jonny Greenwood slides a coin up and down the strings of his guitar, using a Roland Space Echo to create the eerie sounds heard throughout the song. In the studio version, the ambient sound is actually a recording of children playing played backwards. The studio version also features the eerie sound of a Mellotron choir. The distinctive fuzzy bass guitar featured in the climax is courtesy of the Shin-ei Companion FY-2 fuzz pedal.