"[1] Originally calling themselves The Jolly Rogers, a decision to drive the band in a new direction resulted in a name change—the current Oh No Oh My moniker was inspired by a song by The Robot Ate Me.

The group moved to Nashville, Tennessee in January 2006 to continue with their music, where they played several local shows, experimented with their lineup, and released their debut, self-titled album.

In September 2006, the group left Nashville to play a series of shows across the United States, including opening for The Flaming Lips and Gnarls Barkley.

After permanently returning to Austin in October 2006, with occasional jaunts across the country with bands such as Mew, The Deadly Syndrome, Let's Go Sailing, and Au Revoir Simone, Oh No Oh My re-released Between the Devil and the Sea in August 2007.

The band received press in May 2008 when one of their fans was denied entry to Six Flags San Antonio for wearing a T-shirt which appeared to illustrate two girls consuming small children.