Lyric discussion by magusreaver 

Cover art for Oh My Lord lyrics by Nick Cave and the Bad Seeds

to me the song is about dealing with him being Nick Cave, the family man vs. Nick Cave the entertainer. and sometimes how they may clash. In this song he builds a world of a man in a decent, in almost david lynchian ways. And maybe he thinks that neither side his family or his fans get him.. and he feels lost.