[3] The song was inspired by car trips taken by Wall of Voodoo frontman Stan Ridgway and guitarist Marc Moreland on their way to rehearsals, when they would listen to Mexican broadcasts, preferring their programming to mainstream Los Angeles radio.

[3] During one of the band's sessions, Moreland played them a demo tape that he had recorded of himself repeatedly singing the line "I'm on a Mexican radio" over a guitar riff and that sound clip became the starting point of the single.

[3] In order to emulate the sounds of AM radio, many of the song's instruments, including the synthesizers, were played through amplifiers, rather than being recorded directly through the microphones to the mixing console.

[3] They recorded some of Moreland's guitar through an amplifier placed in the restroom at the back of the studio and Ridgway sang some of the vocals through a handmade bullhorn.

[3] The synthesizer parts were played on a Minimoog and an Oberheim Eight Voice, the majority of which were recorded through Fender Twin Reverb and Vox AC30 amplifiers.

[3] The instrumental track for "Mexican Radio" was created using two different drum machines: a Roland TR-808 and a Kalamazoo Rhythm Ace, an older device once owned by voice actor Daws Butler.

[3][11] It was the first music video created by filmmaker and former the Bruthers frontman Frank Delia, who had been a long-time friend of Wall of Voodoo band members.

[3][11][19] Ridgway, who left Wall of Voodoo in 1983 to embark on a solo career, told Mix magazine in 2005: "The 'one-hit wonder' status of 'Mexican Radio' is not something to be ashamed of.