The album, which was jointly produced by Apollo 440's Howard Gray,[2] was notable for being one of the last recordings by Vic Maile,[2] well known for his work with Jimi Hendrix, Led Zeppelin and Eric Clapton.

Gun-Shy was also one of two albums by The Screaming Blue Messiahs that brought them to the attention of David Bowie and that led to him promoting the band:[3] "Well!

"[6] The release of Gun-Shy in early 1986 was met by a generally positive reception by select music press: Spin Magazine said,"Gun-Shy is a damn fine record, consisting of a quasi-neo-rockabilly power trio... the Screaming Blue Messiahs squeeze a lot of great music out of guitar, bass, drums and vocal.

";[7] The Melody Maker stated, "[t]hey have a gut instinct for the roots of blues and R 'n' B and from that sure base they can confidently blast their way through Bill Carter's extraordinarily powerful selection of songs.

"Wild Blue Yonder" resurfaced in 2006 as the closing music of season 03/episode 04 of FX's Rescue Me.