"Caroline, No" is about the loss of innocence. Asher conceived the title as "Carol, I Know". When spoken, however, Brian heard this as "Caroline, No", which Asher thought was "a much stronger and more interesting line than the one I had in mind." Brian considered the song "probably the best I've ever written", summarizing, "It's a pretty love song about how this guy and this girl lost it and there's no way to get it back. I just felt sad, so I wrote a sad song." The track is introduced by the sound of a plastic Sparkletts water cooler jug being hit with a hard percussion mallet. As the song fades, it segues into a recorded excerpt of Brian's dogs barking accompanied by a sample of passing trains taken from the 1963 sound effects LP "Mister D's Machine".