"Underdog" was recorded for Keys' seventh studio album Alicia (2024). Speaking on the meaning behind the song, she told Rolling Stone: I love this song so much because it's about real life and real people and our experiences. We've all been in a place in our lives where we've had to defy the odds.

An underdog is someone who isn't likely to win a competition or contest. When a professional basketball player faces off against a high school student who's a foot shorter, the high schooler is the underdog. Anyone at a disadvantage, whether in general or in a particular situation, can be called an underdog.