The song received acclaim from music critics, who praised the atmospheric production, the appearance of Vernon, and West's verse. The verse by West was described as one of the most poetic of his career, with the song being cited as one of the strongest on "My Beautiful Dark Twisted Fantasy". "Lost in the World" was featured during the closing credits of "Runaway", a 35-minute short film directed by West set with music from the album. The song peaked at number 104 on the South Korean Gaon Chart. A music video was directed by Ruth Hogben, featuring black and white cinematography, frantic dancing by models and a brief cameo by West. The music video received positive reviews from critics.