Last Night was recorded during a particularly low point in His Name Is Alive's long career. Due to the changes in the band and at their label, 4AD, in the last few years, the album was recorded knowing that it would be their last for 4AD. (See the articles for Ft. Lake and Someday My Blues Will Cover the Earth for more details on these changes.) Recorded quickly (a rarity for the band) over a couple of months in the summer of 2001, its release was delayed by the label until November 2002. This was partly because the label had also delayed the release of Someday... for a year. In fact, Last Night was completed before Someday... was even released.
Due to these circumstances, and that many long-time fans were simply losing interest in the direction both HNIA and 4AD were taking, Last Night was somewhat ignored by the buying public. The album received uniformly favorable reviews, and was more similar in sound to previous releases than Someday... was, but it still failed to generate much interest or sales. Band leader Warren Defever stated in an interview around the time of the album's release that it could possibly be the final HNIA album, although that did not turn out to be the case.