In a review of "El Tren de los Momentos", Jason Birchmeier of AllMusic pointed out "Te Lo Agradezco, Pero No" as a highlight on the album. In another article, he described the song as a "passionate duet". Chuck Arnold, Ralph Novak and Monique Jessen, writing for "People" magazine, also pointed out the track as one of the best on the record, adding that the duo managed to "again bring the tropical heat" with it. A writer of "Billboard" noted that instead of only trading vocals on the song, the singers delivered "full duet lines". David Saavedra, a critic of the Spanish newspaper "El Mundo", found elements of Latin flamenco in "Te Lo Agradezco, Pero No" and noted how it was a proof of Sanz's departure from his early-career material.