Marshall recorded "Dear Sir" in December 1994 in a small basement studio near Mott Street in New York City at the same time she recorded "Myra Lee" (1996), which was released nearly two years later, with guitarist Tim Foljahn and Sonic Youth drummer Steve Shelley; Marshall and Shelley had initially met after she played a show opening for Liz Phair in 1993. A total of 20 songs were recorded in a single day by the trio, all of which were split into two records, making up "Dear Sir" and "Myra Lee".