The title phrase 'Foreign Spies', along with references to '15 Step' and 'A Rat's Nest', can be seen in this sketch from the 'scrapbook' section of radiohead.com (circa 2004/2005):

The main melody of 'Foreign Spies' is shared with Jonny's piece Horror vacui, in particular the section 'K16 (Granular Stretch)'. It was performed september 10th 2019 at the Royal Albert Hall in London as part of the BBC Proms:

'Foreign Spies' was first played at the soundcheck for a show in Luxembourg on june 27th 2022:

Interviewer: Why does the album open the way it does? Why does it start with “Foreign Spies”? It gives you so much atmosphere and immediately places you inside the record.

Tom Skinner: That decision to open with that didn’t come lightly. It’s quite a bold move. But I think that decision came from wanting to distinguish it from the previous record — and from the previous records. It felt like such a departure. There’s nothing else like that song. It’s pretty unusual, to say the least, lyrically and sonically.
This record features a lot more synths and electronics compared to the last one. So I guess it was a statement of intent: “Here we are. This is something different that you haven’t heard from us before.” It felt like a very bold way to open. And again, like many of these decisions, it was something we just ran with because it felt exciting.

Musikexpress: Imperfect, but undeniably beautiful, is also “Foreign Spies”, a song that you initially played during various soundchecks before concerts. One imagines you just jamming around and ending up with a song. Is that really how it happens?

Jonny: Not at all. That was, for example, a sequence I had already been working on for quite some time. Thom then sang over it and brought the song to life.