The lyrics consist of the narrator ruminating on places that he has never visited, but feels that he has some proxy experience of, via the music or other features of those places, or from having gone to similar locations. In the final verse, he observes that while he has "never been to heaven," he has "been to Oklahoma," where he was told he was born, thus implying a kinship between the two places. Hoyt Axton, who was born in Oklahoma explained that he originally wrote, "...in Oklahoma, born in a coma...." However, it was considered inappropriate; thus, the lyrics were changed to "not Arizona."
ApologetiX did a parody of the song entitled "Never Been to Spain (Yet)" that was featured on their 2007 live album, Chosen Ones.
The Oklahoma State University Cowboy Marching Band plays a version of the song every football game during the first time out of the fourth quarter, as well as at numerous other events throughout each academic year. It has been recorded in several of their performance albums. The entire marching band and stadium of fans yell "State" in unison following the line "I've never been to heaven, but I've been to Oklahoma".
The Killers opened their second concert ever in Oklahoma City on May 7th, 2019 by walking onstage to a recording of the song.