Jason Elias of AllMusic describes "Cry" as a moody and reflective piece of material reminiscent of Jackson's Quincy Jones-produced ballads for "Bad", and indicates the song's themes are those of alienation and sorrow rather than love. He believes the strength of the strings, the competent backing vocals, and the keyboard figures prevent the listener from convulsing with laughter at Jackson's "oh-so-pained delivery" and interjections of "Hold on" or "Oh my!" Jon Pareles of "The New York Times" called the track the "change-the-world-song" and wrote that the single "applies its grand buildup to one of pop's strangest utopian schemes," which was asking everyone to cry at the same time, at which point Jackson may answer their prayers. Catherine Halaby of "Yale Daily News" felt that the song is a "less triumphant use of a contemporary's input" on the album.