The song is part of the EP recording David Bowie made for Bertolt Brecht's play Baal. Bowie performed the title role for the BBC television production of Baal by Alan Clarke. John Willett provided the English translation and screenplay. Bowie's recordings of the play's five songs were released as an EP.
The video for "The Drowned Girl" was filmed at the same time as Bowie's video for "Wild is the Wind." Both were directed by David Mallet, who has directed several videos for David Bowie in the late 1970s and into the 1980s including both music videos and home video releases of Bowie's 1980s concerts.