Isaac Watts, Hymns and Spir­it­u­al Songs, 1707-9, Book II, num­ber 9; Ralph E. Hud­son wrote the re­frain in 1885.

Mar­tyr­dom, Hugh Wil­son, 1800 (MIDI, NWC, PDF) (does not use the re­frain).

• Hudson, Ralph E. Hud­son, Songs of Peace, Love and Joy (Al­li­ance, Ohio: 1885) (MIDI, NWC, PDF) (us­es re­frain be­low). It is with this tune that the hymn is known as At the Cross.
• Liberty Hall, in Wy­eth’s Re­po­si­to­ry of Sac­red Mu­sic, by John Wy­eth, 1810 (MIDI, NWC, PDF)

[In] the au­tumn of 1850…re­viv­al meet­ings were be­ing held in the Thir­ti­eth Street Meth­od­ist Church. Some of us went down ev­ery ev­en­ing; and, on two oc­ca­sions, I sought peace at the atlar [sic], but did not find the joy I craved, un­til one ev­en­ing, No­vem­ber 20, 1850, it seemed to me that the light must in­deed come then or ne­ver; and so I arose and went to the al­tar alone. Af­ter a pray­er was of­fered, they b­egan to sing the grand old con­se­cr­ation hymn,

Alas, and did my Saviour bleed, and did my Sovereign die?

And when they reached the third line of the fourth stan­za,

Here Lord, I give myself away,

my ve­ry soul was flood­ed with a ce­les­tial light. I sprang to my feet, shout­ing hal­le­lu­jah, and then for the first time I real­ized that I had been try­ing to hold the world in one hand and the Lord in the other.

Crosby, p. 24