Roy Orbison was writing with his songwriting partner Bill Dees at his house when he told Dees to get started writing by playing anything that came to mind. Orbison's wife Claudette came in and said she was going to go into town to buy something. Orbison asked if she needed any money, and Dees cracked, "Pretty woman never needs any money." Inspired, Orbison started singing, "Pretty woman walking down the street." Bill Dees recalls in 1000 UK #1 Hits by Jon Kutner and Spencer Leigh: "He sang it while I was banging my hand down on the table and by the time she returned we had the song. I love the song. From the moment that the rhythm started, I could hear the heels clicking on the pavement, click, click, the pretty woman walking down the street, in a yellow skirt and red shoes. We wrote Oh Pretty Woman on a Friday, the next Friday we recorded it, and the next Friday it was out. It was the fastest thing I ever saw. Actually, the yeah, yeah, yeah in Oh Pretty Woman probably came from The Beatles."

In the same book Bill Dees recounts how the distinctive growling cry of "Mercy" came about: "I can't do that growl like Roy, but the "Mercy" is mine. I used to say that all the time when I saw a pretty woman or had some good food. Still do."
Orbison and his wife Claudette had recently reconciled after some tough times, but as this song was climbing the charts, Roy found out she had been cheating on him and filed for divorce. In 1966, they remarried, but two months later Claudette was killed when the motorcycle she was riding was hit by a truck. Orbison faced tragedy again when his two oldest sons died in a fire at his home in 1968. He was on tour at the time.
This was Orbison's last big hit. His career faded fast, but was revived in the '80s when prominent musicians like Bruce Springsteen, Bob Dylan and George Harrison cited him as an influence and invited him to join various projects. He was inducted to the Rock and Roll Hall of Fame and joined The Traveling Wilburys with Dylan, Tom Petty, Harrison and Jeff Lynne. As he was enjoying this career revival, he died of a heart attack on December 6, 1988 at age 52.
With his dark sunglasses and plaintive voice, Orbison gave the impression that he was always longing and sometimes miserable, which was not the case. Speaking with the NME in 1980, he explained what's going on in this song: "There's a ballad in the mid-section of it there: he's very sure of getting the girl when he first sees her, and then he's not so sure, and then he gets desperate, and then he says forget it, and then she comes back. It's quite complicated, but it's probably in the presentation, or if I'm really singing like I know I can and I'm doing the job that I should be doing, then it could be that the voice quality in parts has a melancholy something."