It forms the second part of the Inmost Light trilogy; the first being 1995's Where the Long Shadows Fall (Beforetheinmostlight) and the last being 1996's The Starres Are Marching Sadly Home (Theinmostlightthirdandfinal).

Like the earlier Of Ruine or Some Blazing Starre, All the Pretty Little Horses contains several songs based on repeating melodic themes.

Lyrically, the album revolves around the ideas of pain and death, specifically as reflected in Patripassianist philosophy, along with the overarching concept of the "inmost light", or soul.

A hidden track of Thomas Ligotti reading from his story Les Fleurs appears at the end of the album.

Originally available on compact disc and vinyl, the album was reissued as part of the boxed set The Inmost Light in 2007.