It was released on September 3, 2002, as the lead single from his debut studio album Philadelphia Freeway (2003).

In the song, the rappers rap about committing acts that they know are illegal but still doing them in order to survive.

The first time he came to hear the album, Freeway played him "What We Do", and Jay said, "I gotta jump on it."

[3] The music video was filmed in the Brooklyn Navy Yard and directed by Nzingha Stewart.

It is based on the television series The Wire and features cameos from cast members of the show,[4] as well as appearances from Damon Dash, Roc-A-Fella artists,[1] and Beanie Sigel's mother.