Beautifully simple in its construction, The Saddest Story "Window" draws attention to the pure sounds of the piano and the space in which it is played. The rests in between phrases allow the piece to breathe, and the complex sounds of the instrument to develop no matter how faintly audible. Saddest Story is a highly effusive work, opening brief windows of extremely emotional content on an otherwise placid musical floor.

The piece was written at the same time as the String Quartet in D, during which time, Kay was investigating the strength of the absence of sound. In fact, the pieces were once meant to be part of a single work, however, Saddest Story was eventually given its own space as a stand alone piece. Several parallels between the two works still remain, and Saddest Story still quotes the opening of the quartet in its closing measures.