X-ray Nova Sco 1994, a candidate black hole binary, has recently been shown to have a heliocentric radial velocity of -150+/-19 km s^-1. After correction for the peculiar motion of the Sun and differential Galactic rotation, the magnitude of the space velocity of Nova Sco stands out as being much higher than that of any other dynamically identified Galactic black hole candidate. If the velocity of X-ray Nova Sco 1994 is the result of an asymmetry during the initial collapse of its compact object, as is probably the case for neutron stars, this provides an important clue to the formation of its black hole. It most probably suggests that the black hole did not form as a result of a prompt collapse, but formed via an intermediate neutron star stage, and was converted into a black hole by the subsequent accretion of matter or a phase transition in the cooling compact object. We also consider several other methods by which Nova Sco could have acquired its high space velocity, but find them unattractive.