AllMusic's Stephen Thomas Erlewine gave a positive review of "Don't Tell Me", describing it as an "intricate, sensual, folk-psych stunner". Jim Farber from "Daily News" felt that "song crosses up-to-date electronica with rootsy American blues via a guitar hook that sounds something like Lynyrd Skynyrd's 'Sweet Home Alabama'". He also believed that the imagery conjured up in the song is predominantly American. A reviewer for "NME" considered "Don't Tell Me" an "alt-alt-country, hacked-up acoustic guitar over knife-sharp beats track", comparing Madonna to Sheryl Crow. Danny Eccleston from "Q", also saw similarities to Crow, calling the track ""Music"s closest cousin to the sonic landscapes of "Ray of Light"", while also pointing out its "masterful ending – as a rhythm of insectoid whirrs and bendy ARP-style 'wowp!'s join the guitar while Colombier's strings ape the peal of church bells". "Digital Spy"s Justin Harp felt that "the comparisons Sheryl Crow actually did a disservice to a track that stands out as particularly unique in Madonna's massive catalogue of hits". Louis Virtel, from TheBacklot.com, placed "Don't Tell Me" at number 25 of his list "The 100 Greatest Madonna Songs"; he praised the singer for "invoking some tried-and-true country music imagery" and called it an "unmistakable radio moment of the early 2000s".