Speaking to Euronews, Nigel Farage said he refused to show "respect for foreign anthems that have been forced upon us."
Brexit Party MEPs attending the opening of the EU Parliament in Strasbourg on Tuesday turned their backs as the union's anthem was played.
The 29 MEPs were pictured facing the back of the room as Beethoven's Ode to Joy — the EU's unofficial anthem — was played at the opening session.
Antonio Tajani, the parliament's outgoing president, had earlier asked fellow MEPs to stand in "respect" for the quartet playing the piece.
But while the rest of the chamber stood to face the music, Brexit Party leader Nigel Farage and his fellow party MEPs turned to face the wall.
Speaking to Euronews, Farage said he refused to show "respect for foreign anthems that have been forced upon us."
He added: "We did what we were told, and we stood, but we turned our backs."
Farage tweeted in response to Euronews journalist Philip Sime, saying the "Brexit Party has already made its presence felt".