The song tells of disappointment, as the lyrics, "Don't know why there's no sun up in the sky", show someone pining for her man to return. The weather is a metaphor for the feelings of the singer: "stormy weather since my man and I ain't together, keeps raining all the time."
The original handwritten lyrics, along with a painting by Ted Koehler, were featured on the (US) Antiques Roadshow on 24 January 2011, where they were appraised for between $50,000 and $100,000. The lyrics show a number of crossings out and corrections.
Duke Ellington recorded an instrumental version of the song in 1933 and another version with singer Ivie Anderson in 1940. He also featured a vocal version with Ivy (aka Ivie) Anderson in his 1933 Paramount short film Bundle of Blues.
Lena Horne first (though she was not THE first artist to record it) recorded the song in 1941 for RCA Victor. In 1943, she recorded another version of Stormy Weather for the movie of the same name (which she made while on loan to 20th Century Fox from MGM). Horne recorded the song at least five times throughout her career. Horne's version of the song was inducted into the Grammy Hall of Fame in 2000.