My Chemical Romance were formed by frontman Gerard Way and drummer Matt Pelissier, around a week after the September 11, 2001 terrorist attacks - witnessing the planes crash into the World Trade Center influenced Way's life to the extent that he decided to start a band (he wrote "Skylines and Turnstiles" to express his feelings about September 11th). Shortly after, Ray Toro was asked to join the band, and the first recording sessions were conducted in Pelissier's attic, where the songs "Our Lady of Sorrows" (formerly called "Bring More Knives") and "Cubicles" were recorded (the band refer to those sessions as ‘The Attic Demos’). Mikey Way, Gerard’s younger brother, loved the demo so much that he asked to join the band after dropping out of college, and My Chemical Romance signed with Eyeball Records. Whilst with Eyeball, the band met Frank Iero, lead vocalist and guitarist for Pencey Prep, who later disbanded, with Frank joining MCR days before the band's debut album was recorded. The debut, “I Brought You My Bullets, You Brought Me Your Love” was subsequently released in 2002.
The following year, the band signed a deal with Reprise Records, and following a tour with Avenged Sevenfold, began work on their second album, “Three Cheers for Sweet Revenge”. Released in 2004, it went platinum within a year, selling over 1 million copies. However, in July, after returning froma tour in Japan, drummer Matt Pelissier was replaced by Bob Bryar. 2005 saw MCR open for Green Day on their “American Idiot” tour, co-headline the Warped Tour with Fall Out Boy. Later that year, My Chemical Romance co-headlined and headlined their tour with and collaborate with The Used for a cover of the Queen and David Bowie classic, "Under Pressure" (released as a benefit single on iTunes and other Internet outlets).

In 2006, following the release of a 2 DVD/1 CD set entitled “Life on the Murder Scene” (which chronicled the band's history, and included music videos, footage showing the making of the videos, and a couple of live performances), MCR started recording their third studio album with Rob Cavallo (producer of many Green Day albums). Lead single “Welcome To The Black Parade” reached number 1 on the UK Singles Chart in October 2006 (the band’s first number 1). The LP “The Black Parade” was released during the same month. My Chemical Romance were nominated for "Best Alternative Group" at the 2007 American Music Awards (along with The White Stripes and eventual winners Linkin Park).