Children's March was scored for band by Grainger in 1919 from a piano solo which he had composed between 1916 and 1918. The band arrangement was begun in 1918 while the composer was a member of the U.S. Coast Artillery Band and was written to take advantage of that band's instrumentation. Generally accepted as the first band composition utilizing the piano, the march features the woodwinds — especially the low reeds — during most of its seven-minute duration. From the introduction to the end, the folk-like melodies make it difficult for the listener to realize that the work was original with Grainger. It was first performed by the Goldman Band on June 6, 1919, with the composer conducting and Ralph Leopold at the piano.

Like many of Grainger's works, the march demonstrates both the fierceness and the tenderness of the composer's personality. It was dedicated to "my playmate beyond the hills," believed to be Karen Holton, a Scandinavian beauty with whom the composer corresponded for eight years but did not marry because of his mother's jealousy. In 1953, forty-eight years after they first met, they saw each other for the last time in Denmark where Grainger had gone for a cancer operation to be performed by Dr. Fai Holton, Karen's brother.