On March 31, 2009, Nicks gave an interview to Entertainment Weekly discussing the inspiration for the song:

“Oh boy, I’ve never really spoken about this, so I get verklempt, and then I’ve got the story and I start to screw it up. Okay: In the old days, before Fleetwood Mac, Lindsey [Buckingham] and I had no money, so we had a king-size mattress, but we just had it on the floor. I had old vintage coverlets on it, and even though we had no money it was still really pretty… Just that and a lamp on the floor, and that was it—there was a certain calmness about it. To this day, when I’m feeling cluttered, I will take my mattress off of my beautiful bed, wherever that may be, and put it outside my bedroom, with a table and a little lamp.”

On March 25, 2009 during a show in Montreal on Fleetwood Mac’s Unleashed Tour, Stevie Nicks gave a short history of the inspiration behind Gypsy. She explained it was written sometime in 1978-79, when the band had become “very famous, very fast,” and it was a song that brought her back to an earlier time, to an apartment in San Francisco where she had taken the mattress off her bed and put it on the floor. To contextualize, she voiced the lyrics: “So I’m back, to the velvet underground. Back to the floor, that I love. To a room with some lace and paper flowers. Back to the gypsy that I was.” Those are the words: ‘So I’m back to the velvet underground’—which is a clothing store in downtown San Francisco, where Janis Joplin got her clothes, and Grace Slick from Jefferson Airplane. It was this little hole in the wall, amazing, beautiful stuff—’back to the floor that I love, to a room with some lace and paper flowers, back to the gypsy that I was.'”

The second subject of this song is the message as a tribute to someone’s passing. On October 5, 1982, Robin Snyder Anderson, Stevie’s best friend, died of leukemia.