The EP was recorded at Strange Weather Studio in New York with producer Ben Greenberg whilst the band were on tour and is the first new release since 2016's critically acclaimed debut album Fading Lines. About the EP Annelotte said: "I'm so happy to be releasing these tunes! We had 2 days off in New York on our tour last September and we recorded them in that time. I've thought about postponing their release and waiting till I have more songs to make it into a full record, but I actually feel like they fit together wonderfully as an EP and am glad they get to be out there in this form." The 'Cannonball' EP opens with Amber Arcades' reworking of the classic Nick Drake song, 'Which Will' (from his seminal 1972 album Pink Moon) featuring her trademark ethereal, hazy, krautrock sound. 'It Changes' follows, which is possibly Amber Arcades' most irresistible and compelling pop single to date. The EP also features three brand new tracks in the form of 'Can't Say That We Tried', 'Wouldn't Even Know' (featuring Bill Ryder-Jones on vocals) and the title track, 'Cannonball'. The artwork was shot by Nick Helderman who has photographed all of Amber Arcades' artwork and photos to date.