Desperado explores themes of outlaw life and moral ambiguity through a Western narrative lens. The album uses the metaphor of the Old West desperado to examine themes of freedom, consequence, and the cost of living outside society's rules. Songs like the title track and "Tequila Sunrise" reflect on regret and the inevitable downfall that comes with that lifestyle. The concept gives the record a cohesive storytelling quality that sets it apart from typical rock albums of the era.