Neil Spencer from The Guardian felt the song was "an explicit enough farewell note to the group [Massive Attack], a mix of bitterness and relief that told her former colleagues 'I swear I never knew/just what I could do'."[3] In his weekly UK chart commentary, James Masterton wrote, "Shara Nelson makes her Top 40 debut with a fairly standard piece of pop-soul but with continued airplay may well breach the Top 10 if she is lucky."[1] Andy Beevers from Music Week gave it four out of five, describing it as "a classy song that grows in stature the more you hear it."[4] Paul Moody from NME named it Single of the Week, saying, "Ah!, the sweet dove of summer has arrived and everywhere people are kissing absolute strangers in broad daylight, throwing in grey day jobs and thumbing funky lifts across a sun-swept Europe. Or at least they would be it 'Down That Road' had its way. A delirious debut solo single from Shara Nelson..."[5]
Brad Beatnik from the RM Dance Update wrote, "Strings, horns, funky keys and thumping rhythms are the hallmarks of this classy debut by the former Massive vocalist." He also described it as "poppy".[6] Another RM editor, James Hamilton, declared it as a "plaintive Massive Attack girl's subtle anti-segregation message".[7] Nilou Panahpour from Rolling Stones complimented it as "skillful, soulful dance pop."[2] Miranda Sawyer from Select commented, "'Down That Road' oozes a similar sad and frightening quality [as 'Unfinished Sympathy']. On first listen. Then you realise that the label's wrong. It definitely says 33, if definitely does, but it's lying, and once adjusted to the correct speed of 45rpm, Shara's efforts lose their exciting other-worldiness and turn into competent, slick, easy-on-the-brain-cells soul. Shame really."[8] The magazine's Adam Higginbotham wrote, "The safe-but-dull single 'Down That Road' [...] is merely one example of the results of Nelson's collaboration with a slew of songwriters."[9]
