Originally recorded in September 1993, the song remained unreleased for six years until the announcement of The Vault: Old Friends 4 Sale.
"It's About That Walk" received mixed reviews from music critics, who enjoyed the track's production, but found it to be "unmemorable".
In July 1999, Prince announced the upcoming release of The Vault: Old Friends 4 Sale, a collection of previously unreleased material from his partnership with Warner Bros.
While it is unknown what album Prince wrote the song for, "It's About That Walk" was written around the time The Hits/The B-Sides was released.
Mark Zeltner of PopMatters declared it the "best of the lot" on The Vault: Old Friends 4 Sale, favorably comparing it to the works of James Brown and Smokey Robinson.