In an interview with Apple Music, Greg Gonzalez said:

On our first tour of Europe, we played a show in this beautiful cathedral in Bochum, Germany, and we liked it so much we thought we should come back to record. The atmosphere inside led me to write ‘Don’t Let Me Go’ in about five minutes—the melody and everything. It’s based on a relationship I had in my hometown before I moved to New York, a person that I lost contact with. Just to say, ‘Even though we don’t talk, this was special. This led me to where I am now. Don’t let the memory of it go.’ It was strange to be in Germany, so far away from home and so far away from my past. You think of where you are and then you think of the person you were just years ago. There’s something very emotional about that. There was no rehearsal—it just appeared out of thin air.