In 2002, Eyeball Records (the New York-based indie that Thursday had recorded for) released My Chemical Romance's debut album,(Mikey had been working at Eyeball for an Intership) I Brought You My Bullets, You Brought Me Your Love. The album was often compared to Thursday -- a comparison that, for various reasons, was inevitable and unavoidable. Both bands were from New Jersey, both had recorded for Eyeball, and both combined punk-pop's musical aggression with introspective, confessional lyrics. Plus, I Brought You My Bullets, You Brought Me Your Love was produced by Geoff Rickly, Thursday's lead singer -- add all of those things up, and there was no way that My Chemical Romance was going to escape Thursday comparisons. But Thursday isn't their only influence; reviewers have cited the Smiths, Morrissey, the Cure,The Smashing Pumpkins and the Misfits as influences. And Way has even cited British heavy metal icons Iron Maiden as an influence.

Lyrically, I Brought You My Bullets, You Brought Me Your Love is as dark as it is introspective and cathartic; Way has been quoted as saying that the band's lyrics were a great way for him to deal with the problems he had been going through (which included severe depression and a serious illness in his family). The 2002 release included Way and Pelissier's first song, "Skylines and Turnstiles," and many of the album's other song titles were equally intriguing, including "Honey, This Mirror Isn't Big Enough for the Two of Us," "Drowning Lessons," "Headfirst for Halos," "Our Lady of Sorrows," and "Vampires Will Never Hurt You." In 2003, My Chemical Romance signed with Reprise/Warner Bros.

Their Second Album "Three Cheers For Sweet Revenge" was released in late 2004. The First single "I'm Not Okay (I Promise)", a high speed anthem for the contiually downtrodden and rejected, caught America off-gaurd and put MCR (My Chemical Romance) in the spotlight almost overnight.