McMillan wrote "How He Loves" following the death of his best friend, Stephen Coffey. Coffey was a youth minister for MorningStar Ministries. On November 1, 2002, during a church prayer meeting, Coffey prayed out loud "I'd give my life today if it would shake the youth of the nation." That very night, he was in a multi-car accident and died of serious injuries.
Meanwhile, McMillan was recording in a studio in Jacksonville, FL when he received a call that two of his friends had been critically injured in a car accident. Later that evening, he received another call from his father who informed McMillan that Coffey had died. The next day, McMillan wrote "How He Loves" as a tribute to Coffey and out of a need "to have some sort of conversation with God" where he could speak to his frustrations and emotions over his best friend's death.
According to McMillan, the love that he's singing about in "How He Loves" is not a pretty, "Hollywood hot-pink" love. It is a kind of love that is willing to love even when things are difficult and messy. He says, "This song isn't a celebration of weakness and anger. It's a celebration of a God who would want to hang with us through those things, who would want to be a part of our lives through those things, and, despite who we are, He would want to be a part of us, our community, and our family."