The song was written by Del Rey and guitarist Stranathan. In the thank you message at the end of the Ultraviolence booklet, Del Rey thanks Stranathan and explains he “set the tone for the whole album with "Cruel World" and "Pretty When You Cry". The recording of the song was improvised, Stranathan played chords while Del Rey sang the lyrics spontaneously. On the production of the track, Del Rey went on to say “I didn’t even think to go back and fix it because if you know the story behind it, then you can tell why it was sung that way.”
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