The band was formed by frontman Gerard Way and ex-drummer Matt Pelissier around a week after the September 11, 2001 attacks. Gerard had witnessed the planes crashing into the World Trade Center. It influenced his life to the extent that he decided to start a band. Gerard wrote the song "Skylines and Turnstiles" to express his feelings about September 11th. Shortly thereafter, Ray Toro was called up and asked to join the band because at the time Gerard couldn't sing and play the guitar at the same time.

The first recording sessions were done in Matt's attic, where the songs "Our Lady of Sorrows" (then called "Bring More Knives") and "Cubicles" were recorded. Mikey Way, the younger brother of Gerard, loved the demo so much that he decided to join the band.

My Chemical Romance was signed with Eyeball Records and played in the same room as Pencey Prep and Thursday. It was there that the band met Frank Iero, the lead vocalist and guitarist for Pencey Prep. After Pencey Prep broke up in 2001 or 2002, Frank became a guitarist for My Chemical Romance, just days before the band's debut album was recorded.

Three months after the formation of the band they recorded their debut album, I Brought You My Bullets, You Brought Me Your Love, subsequently released in 2002 on Eyeball Records. Despite only joining the band a few days before the album recording sessions began, Frank Iero played guitar on two of the tracks, one of them being "Early Sunsets Over Monroeville".