The band recorded the song in February 2009, alongside the tracks "Fantasy" and "Infinity" before finishing the album by the end of the month. While recording "Shelter", a mechanical part of the guitar amplifier loosened, resulting in a clattering sound, which Rodaidh McDonald, who was the engineer and the mixer for the album, and The xx decided to keep. "It was just like this missing piece of percussion that the track needed!", remarked McDonald.
The music video was uploaded on YouTube on 16 June 2011 at a length of three minutes and fifty-seven seconds. It features Birdy walking outside in the dark, with various shots of her sitting in an dark room or playing the piano.