"Years ago I thought, there's not very good Christmas records," he told BBC Radio 4's World at One programme.
"So I actually went into my studio over a couple of years and I made one."
Sir Paul said he would never release the demo of traditional Christmas carol instrumentals, despite it being popular with his children and grandchildren.
"The kids like it," he told Sarah Montague. "It's something they've heard through the years, you know, and now it's the grandkids getting indoctrinated with my carols record."
Sir Paul has five children and eight grandchildren - six boys and two girls.
Earlier this year he revealed he had written a children's book inspired by the "Grandude" nickname one of his grandchildren had given him.
It was confirmed last month the 77-year-old would be headlining at next year's Glastonbury Festival in Somerset.
The former Beatle will top the bill on the Pyramid Stage on 27 June, a week after he celebrates his 78th birthday.
Glastonbury is 'very special'
Sir Paul admitted he might get nervous, but would prepare for his appearance by playing 10 concerts beforehand "to get up to speed".
"You don't get an athlete just coming into the Olympics not having done a few races beforehand," he said.
"The idea is by the time I get to Glastonbury it'll just be just like another gig. But of course it won't be, because it's very special."
He also discussed the 10th anniversary of Meat Free Monday, climate change and Christmas presents during the interview, which will be broadcast on Thursday's World at One on BBC Radio 4 from 13:00 GMT.