Cockaigne was a medieval fantasyland of plenty and content, where food and drink were laid out for free. Hence, by some accounts, the term "cockney" for a Londoner.

Elgar's Cockaigne is a portrait of London in the spirit of fantasy, a 15-minute tour of a city where a royal cavalcade is proceeding through the streets, supported by horse guards in their uniforms of scarlet, white, and silver; where street urchins are whistling along with their hands in their pockets; and where two young lovers are strolling in Regent's Park or seeking a quiet moment in one of the city's churches. Such are the elements in the program Elgar drew up for the piece, which he started in October 1900 and finished the following year. (The work had its first performance in London at Queen's Hall on June 20, 1901, conducted by the composer.)

The real city, for him, was rather different. He moved there in 1890, a thoroughly experienced musician who was into his 30s and had begun to achieve modest success as a composer. London did not listen. The next year he retreated with his wife and baby daughter to his native territory, the region of quiet towns and hills around the cathedral city of Worcester. There he worked on choral music and light instrumental pieces until his "Enigma" Variations (1898-99) suddenly brought him not only national but international prominence. Now he could return to London as a man of distinction—but only for visits, for not until 1912 did he again take up residence in the city.
Cockaigne was his first orchestral work after the "Enigma" Variations, and it goes with pride. The opening is a sly and smiling maneuver that soon leads into a military march-a genre Elgar was about to make his own with the first of his set "Pomp and Circumstance." In Cockaigne the march form is drawn in quick overview, with a middle section based on a big, broad tune: Here for the first time Elgar used the marking nobilmente. When the main march theme has come back and then slipped away, a variant of the majestic tune arrives, gentler and perhaps nostalgic, taking over the music for several musing minutes. About halfway through, the march reappears at full strength, and again disappears into the distance. (Marvelously Elgar evokes the space of the city, as the march fades to a far-off drumbeat.) A new melody arrives, identifiably churchy. Then the opening material is restored for a grand development that sweeps on through the Overture's great tunes—reaching a point of Tchaikovskian rapture—and leads ultimately, with a heralding of bells, to the nobilmente melody in apotheosis.

Elgar dedicated the piece, commissioned by the Royal Philharmonic Society, to "my many friends, the members of British orchestras."