The track was well received by music critics. Derek Birkett described it as "one of the best things Björk’s ever done". Alexis Petridis of Blender stated that it "boasts a chorus that’s both original and implausibly epic". In his weekly UK chart commentary, James Masterton wrote that it is "a haunting beautiful piece of music to rank alongside anything she ever did with the Sugarcubes and becoming a bigger hit than she ever had with her former band in the first place." Pan-European magazine Music & Media noted that "the clamour of Iceland's siren is in the air again, beautifully floating above superb rhythm tracks. Highly original; there's nothing like this on the entire planet." Tom Doyle from Smash Hits gave "Play Dead" four out of five, viewing it as "a grand sweeping groovy orchestral thing which sounds like an unhinged Bono theme and will make the hairs on the back of your neck tingle. Remarkable." The Tech journalist Fred Choi, while reviewing Greatest Hits stated that the song is "compelling but lesser-known". Mal Pearchey of Vox described it as "incredibly sophisticated after the eclectic drama of The Sugarcubes".
