Author Santiago Fouz-Hernández commented in his book "Madonna's Drowned Worlds" that to him the song felt like a trepiditation of Madonna's thoughts about what might be termed "girlhood" and on a broadscale, on "feminity". Christopher P. Andersen, author of "Madonna: Unauthorized", described "Dear Jessie" as "a wistfully psychedelic confection of carousels and pink elephants", adding that "the song harkens back to the lullabies your mother must have sang to you". Robin Anne Reid, author of "Women in Science Fiction and Fantasy: Overviews", complimented the fact that "although the sort of fantasies that conjures might trend towards the kinky and sexual, she can also delve into a world of mermaids, fountains of youth, leprechauns and magic lanterns as is evident by 'Dear Jessie'."