Glynne opened up about the song during an interview with Billboard, saying:

If you’re not smiling and in the best mood or looking amazing, someone’s gonna make a comment. Social media can be the devil sometimes and can make you judge yourself, and not for the right reasons.

She also commented on the reassurance that she felt while writing the track with fellow English singer-songwriter Ed Sheeran. The two bonded over shared insecurities and how being in the spotlight had affected them. She added:

[Ed Sheeran and I] spoke about the highs and lows of being famous and doing the job that we do. It was really cool because for me as an artist, I don’t really work with that many artists, and obviously you never know how it is for someone else and you feel like you don’t know whether that’s just you.

During an interview with Billboard in February 2019, Glynne revealed how “Thursday” came about during a writing session with Steve Mac and Ed Sheeran.

When asked about the origin of the song’s title, the article quotes Glynne commenting:

The “Thursday” part is irrelevant, and that not wearing makeup on a Thursday was just an example of [Glynne] wanting to do all of things to make herself feel good. But that particular example resonated with Ed and Steve, so they suggested she call the song “Thursday.”