Stephen Holden of "The New York Times" compared "Set It Off" to "Thelma & Louise", stating, "In formulaic Hollywood terms, "Set It Off" might be described as "Thelma and Louise Ride Shotgun in the Hood While Waiting to Exhale." A pop psychologist might translate the story into a fable called "Women Who Rob Banks and the Society That Hates Them."" He added that among "the long list of Hollywood heist movies that make you root for its criminals to steal a million dollars and live happily ever after, F. Gary Gray's film "Set It Off" is one of the most poignantly impassioned," and that "f this messy roller coaster of a film often seems to be going in several directions at once, it never for a second loses empathy" for the female robbers.