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".
The review published in the January 27, 2001 issue of Billboard stated, "Acknowledging that mainstream country radio is largely inaccessible, Dolly Parton has prudently followed her inspiration lately rather than attempting to gauge commercial appeal, and we commend her for it. Little Sparrow is among Parton's finest output ever, a remarkable compilation that strips away the veneer. Parton's voice continues to be a marvel, whether it's on the heart-wrenching Smoky Mountains soul of the title track, the sorrowful "My Blue Tears", or the rustic waltz "Bluer Pastures".