The review published in the January 27, 2001 issue of Billboard said, "Recognizing that mainstream country radio is pretty much off limits, Dolly Parton has wisely followed her muse of late rather than try to gauge commercialism, and God bless her for it. Little Sparrow is among Parton's best work ever, a stellar collection that peels the paint off the walls. Parton's voice remains a thing of wonder, whether it's on the haunting Smoky Mountains soul of the title cut, the aching "My Blue Tears", or the backwoods waltz "Bluer Pastures".
A review in the January 27, 2001 issue of Billboard noted, "Noticing that mainstream country radio is largely out of reach, Dolly Parton has sensibly followed her creative instincts rather than trying to appeal to a broader audience, and we appreciate her for it. Little Sparrow stands as one of Parton's most outstanding works, a captivating collection that reveals its essence. Parton's voice remains an astonishing talent, whether it's on the emotive Smoky Mountains soul of the title song, the poignant "My Blue Tears", or the folksy waltz "Bluer Pastures".