In December 2014 Foo Fighters appeared on the Howard Stern radio show and during the interview Stern asked Grohl about the origins of many of his songs. When the subject of 'My Hero' came up, Grohl described when he first wrote and recorded the song. "When I wrote that, I had this house in Seattle and downstairs in the basement there was a laundry room and right next to the laundry room was this other, tiny concrete room." he explained, referencing his then current home in Seattle, Washington. "So I set the drums up in there and I had this little 8 track cassette demo recording thing. I was upstairs watching television and I came up with the riff" he continued.
As was usual for Grohl he first recorded the basic drums, bass and guitar tracks for the song in that order and then came up with some quick lyrics. Speaking of the main "There goe's my hero" line, Grohl noted "[I] just sang that over it, just as a temporary lyric and it stayed. I just wrote them super quick so you could hear what the vocal would sound like".
The song was debuted live in an embryonic form on July 20th 1995 and four days later playing the song again Grohl told the crowd "this is a new song we wrote a week ago". It is therefore believed this home demo recording session took place sometime around mid-July.