While on tour with Alanis Morissette in September of 1996, Radiohead was sent the last half-hour of Baz Luhrmann's film William Shakespeare's Romeo and Juliet and asked to write a song for the closing credits. Band members were impressed by the clip, and Thom wrote this song for the movie. At first he attempted to use lines from Shakespeare's play as lyrics, but finally ditched the idea.

Thom recorded the vocals outside in the stone courtyard of their studios at Bath. However, the band didn't feel like releasing it as part of the Romeo & Juliet soundtrack, so put forward a version of Talk Show Host for during the film, and Exit Music was used to play over the credits at the end.

Arguably the most moving of all the band's songs, Exit Music's lyrics tell the story of a couple who have to escape, before it's too late. If you look at it from the point of view of Romeo, it's easier to understand the lyrics. Musically, it's equally, if not more beautiful than lyrically. It begins acoustically with Thom singing on his own, and continues like this for the majority of the song. Towards the end, the rest of the band join in and finish off what ends up being a powerfully moving piece of music. The repeated lyric at the end 'We hope that you choke' is also quite shocking.