It was written and produced by Frank Peterson, and is from the album Sadisfaction (1991), on which it appears as the third track.

The song is composed of Gregorian chants using biblical verses while in the chorus a woman is asking Jesus Christ why she is so sad.

The song was included on Gregorian's best of compilation titled Best of 1990–2010, released in 2011, on which it appears as the first track.

According to Elia Habib, an expert of the French chart, "So Sad" is a more pop-oriented song than Enigma's ones, on which Peterson also worked, as the chorus is sung in English in a very contemporary phrasing.

[1] When reviewing the new singles releases, Music & Media stated: "It's hard to tell the difference [with Enigma], although this time there is the choice of a Monastery Sex Mix".