"Rolling Thunder" was composed by Henry Fillmore in 1916 and is often performed as an opener or encore of concerts. In his youth, Fillmore he mastered piano, guitar, violin, flute, and slide trombone. He kept his trombone activities a secret at first, as his religious father believed it an uncouth and sinful instrument.

It has a fast and furious tempo and is known as a screamer - a circus march intended to stir up the audience during a circus show.