Upon its release, "Dear Jessie" received mixed reviews from critics, who felt that the fantasy imagery of the song was overdone, but complimented its composition.

The music video of "Dear Jessie" combines live action and animation, portraying a young girl waking up in bed and interacting with fantasy characters.

When Madonna started work on her fourth studio album, Like a Prayer in 1988, she was in an emotional state of mind following her split from Sean Penn, her 30th birthday and unfavorable reviews for her acting endeavors.

[2] As Madonna considered her alternatives, producers Patrick Leonard and Stephen Bray experimented with instrumental tracks and musical ideas for her consideration.

[3] According to Rikky Rooksby, author of The Complete Guide to the Music of Madonna, "Dear Jessie" sounds more like a children's lullaby than a pop song.

However, in the chorus, when she sings the lines, "Pink elephants and lemonades, Dear Jessie hear the laughter raining on your love-parade", a different set of vocals are interwoven with hers, continuously chanting the words "La-la".

[4] Synthesizer and strummed acoustics are added during the second verse, followed by the repetition of the chorus, when a change in tempo and time signature occurs, followed by the sound of a child's laughter.

[4] As Madonna finishes singing the intermediate lines, "Close your eyes, sleepy-head, It is time for your bed, Never forget what I said, Hang on...", a trumpet starts playing alongside the main rhythm.

"Dear Jessie" ends with all instrumentation and vocals fading out, except the orchestra, which is equalized to make it sound very thin and trebly, as if coming out from a distorted radio.

[11] Christopher P. Andersen, author of Madonna: Unauthorized, described "Dear Jessie" as "a wistfully psychedelic confection of carousels and pink elephants", adding that "the song harkens back to the lullabies your mother must have sang to you".

[15] Richard Harrington from The Washington Post deduced that with the song, Madonna was harkening back to her own maternal emotions, the feelings she could not receive from her own mother, due to her untimely death.

"[6] Sal Cinquemani from Slant Magazine called it a "bittersweet reminder of the ephemerality of our innocence and imagination [...] this non-U.S. single is a testament to the magic of Madonna’s collaboration with composer/producer Patrick Leonard".

Allen Metz, one of the authors of The Madonna Companion: Two Decades of Commentary, described the composition of the song as "pastel-pretty, [and] richly orchestrated".

[18] The Beatles' influence was also noted by Stephen Holden from The New York Times, who labeled "Dear Jessie" a "stylish swatch of late Beatles-style psychedelia".

[19] Kevin Phinney from the Austin American-Statesman compared the song to the solo work that Beatles' member John Lennon did later in his career.

A cartoon version of the girl then slides along the rainbow and, interpreting the lyrics of the song, catches a falling star and rides over the moon.

By the second verse, pink elephants float over the girl's bed and an animated fairy version of Madonna emerges from the picture and winks.

She takes the girl through another picture, displaying mythological and fairytale beings such as dragons, princes and unicorns as well as a castle where Madonna dances with the moon.