Песня вошла в альбом «Bob Dylan» — дебютный альбом американского автора-исполнителя Боба Дилана. На момент выхода пластинки Дилану было 20 лет. В альбоме всего две песни написаны самим Диланом, остальные представляют собой фолк-музыкальные стандарты. 
Это шотландская народная песня о любви девушки и солдата.

I've been around this whole country 
But I never yet found Fenneario.

Well, as we marched down, as we marched down
Well, as we marched down to Fennerio'
Well, our captain fell in love with a lady like a dove
Her name that she had was Pretty Peggy-O

Well, what will your mother say, what will your mother say
What will your mother say, Pretty Peggy-O
What will your mother say to know you're going away
You're never, never, [bad word] back-io ? [bad word] [bad word] down your stairs [bad word] [bad word] down your [bad word] [bad word] down your stairs, Pretty [bad word] [bad word] down your stairs [bad word] back your yellow hair
You're the prettiest darned girl I ever seen-io.

The lieutenant he has gone 
The lieutenant he has gone
The lieutenant he has gone, Pretty Peggy-O
The lieutenant he has gone, long gone
He's a-riding down in Texas with the rodeo.

Well, our captain he is dead, our captain he is dead
Our captain he is dead, Pretty Peggy-O
Well, our captain he is dead, died for a maid
He's buried somewhere in Louisiana-O.