On June 18, 2021, Anne Wilson announced that she will release My Jesus (Live in Nashville) on August 6, 2021,[3] a live extended play supporting the multi-track single "My Jesus" released in April 2021. The EP was recorded live at the White Dove Barn in Nashville, Tennessee,[4] and contains five tracks and includes the three songs previously released by Wilson on the multi-track single as well as a new song, "No Place Like Home," and a cover of Little Big Town's "Boondocks."[5] Wilson shared the story behind the EP,[6] saying:
I really wanted to have another opportunity to present [my first EP] in a different way. To share the three songs that were released, and then also to add a couple of new ones. So we're doing a cover of "Boondocks" by Little Big Town—that is one of my favorite songs of all time. I wanted to incorporate my Kentucky roots and my country roots into this live EP while keeping the focus on the Lord, but also showing where I'm from. "Boondocks" was the perfect song for that. Then I am also releasing a new song in the live EP titled "No Place Like Home," which is a song about me and my brother and our memories together at our granddad’s farm. That's definitely what I'm most excited about, and that's a part of the reason why I wanted to do the live EP was so that I could bring that song out and release it to the world. I've been holding on to it for a while, and so I’m super excited to let the world hear that song.
Joshua Andre in his 365 Days of Inspiring Media review, applauded Wilson for the EP, saying: "we are met with a vibrant, emotive, personal and honest batch of songs, where Anne delivers her already previously released three singles with intense passion, as well as an all-new track "No Place Like Home" and a cover of Little Big Town's "Boondocks"."[7] Mercedes Rich, indicating in a favourable review at Today's Christian Entertainment, said: "This whole EP goes to show that Christian music can expand through many genres and still worship God. This whole extended play lets Anne Wilson’s personality shine through in her music."[8]