Thalben-Ball composed several anthems and organ works, of which the best known is his meditative "Elegy" for organ, which was played, for example, at the Funeral of Diana, Princess of Wales. This piece originated in an improvisation which Thalben-Ball played at the end of a live BBC daily religious service during World War II, when the service finished a couple of minutes earlier than expected. So many listeners to the broadcast telephoned the BBC to ask what the composition was, that he decided to write down his improvisation as well as he could remember it. He compiled, in addition, a complete set of chants for the psalms, most of them being his own work; this set was published as "The Choral Psalter".