If one had to stick a label to the music of the Cat Mary, "alternative country rock with a literary touch" would probably do best. The band is the brainchild of guitar player and vocalist Andrew Markham, raised in North Virginia, who before getting involved into music, had studied Japanese and Zen Buddhism and shortly worked as an instructor for English literature at John Hopkins University at Baltimore. In 1994, Markham moved to Southern California where he formed the Cat Mary with Christian Stratton, a native Californian, on bass and drummer George Sluppick. Before this, he had sharpened his literary and musical sensibility by performing his first self-created songs before audiences in Japan, where he had spent some time for his studies. Besides music, his second passion was writing fiction; this contributed to the strong literary component in the lyrics of the Cat Mary. The band name was taken from one of Markham's stories -- this particular one features a woman who ends up in a lunatic asylum because she believes that her cat got impregnated by a miracle.
In 1995, the band was signed to the Orchard Music Group label, owned by Richard Dashut, who worked as a producer for Fleetwood Mac's records Rumours, Tusk, and Tango in the Night. Later in 1995, they released their debut album, Her High Lonesome Days, featuring music which floated somewhere in-between the genres and Markham's sometimes strange, but never intellectually overloaded short stories as lyrics. A year after the album release, however, Orchard Music Group went bankrupt and left the band virtually without a recording contract. Shortly afterwards, drummer George Sluppick left the band to join the 20th Congress of funk jazzer Robert Walter.