"His eye is on the sparrow" is meant to be a reminder that God watches over people even in times of persecution or difficulty. It is based on the parable of the Sparrows, which is found in the New Testament book of Matthew in the Holy Bible. In the story, Jesus says that sparrows cannot lose their ability to fly unless God wills it.
Jesus used sparrows in his illustration to highlight how much more value humans had in God's eyes than sparrows. He argued that if God placed such high value on the lives of sparrows, he placed infinitely more value on that of humans. In context, Jesus was speaking to Jews who feared Roman cruelty and persecution. The overall message was not to fear physical torture or death because even though the physical body can be destroyed, the soul cannot. The song "His Eyes Are on the Sparrow" was written by Civilla Martin and composed by Charles Gabriel in 1905. Martin said she was inspired to write the song by an ill friend who, in spite of her suffering, reminded her of the biblical story of the sparrows. She was moved by the expression of her friend's faith and used her friends words as the song's title.