 Blues researcher Jim O'Neal notes that Williams "sometimes said that the song was written by his wife, singer Bessie Mae Smith (aka Blue Belle and St. Louis Bessie) [not the same as the popular Bessie Smith of the 1920s and 1930s]".Big Joe Williams used the imprisonment theme for his October 31, 1935, recording of "Baby, Please Don't Go".He recorded it during his first session for Lester Melrose and Bluebird Records in Chicago.