Bat for Lashes's song "The Big Sleep" is a melancholic piece about the end of a career or life, and the uncertainty and fear that comes with that. The repetition of "How can it be the last show?" indicates a disbelief and sadness that everything has come to an end. The singer describes the absence of the lights and the curtain call, signaling the end of an era. The line "Not even out of my dress and already my voice is fading" expresses the vulnerability that comes with the end of something that has defined you.

The phrase "the big sleep" is a reference to death, indicating that the end of the career being sung about is also a kind of death. The lyrics capture the fear of not knowing what comes next, as well as the sadness of saying goodbye to something you've loved. The song asks a lot of existential questions, playing with the idea of what it means to exist and what happens when that existence comes to an end.