[8] On March 3, 2018, American rapper Travis Scott teased a new project by the Weeknd on Twitter, referring to it as "scary", and comparing it to when he "first heard" his music.

[9] Later that month, the Weeknd suggested that he was in the finishing stages of completing a new project, sharing multiple silent videos on Instagram of a recording studio, with the caption "mastering".

[18] My Dear Melancholy is characterized as an alternative R&B,[2] R&B[4] and electropop[6] record with production credits from Skrillex and Guy-Manuel de Homem-Christo from Daft Punk.

[21][22] The lyrics focus around the Weeknd's past relationships, mainly his highly publicized romances with model Bella Hadid[23] and singer and actress Selena Gomez.

[29] Alex Petridis of The Guardian stated that My Dear Melancholy "abandons the pick'n'mix and indeed hit-and-miss approach of previous album Starboy in favour of something more cohesive: uniformly downbeat and twilit, it flows really well", but criticized its lyrical content.

[33] For NME, Jordan Bassett called the album "thrilling", praising its tight and concise nature and "notable moments of stylistic brilliance" evident in Gesaffelstein's contributions, however criticizing its lack of character, noting that the Weeknd's predictability has led to his "impact [becoming] increasingly scattershot".

However, without the bloated tracklist of Starboy, and any attempt to please an audience outside of his core, the lack of innovation doesn't seem take away from the concise, focused, conceptual nature of this well-produced R&B gem".

[5] In a mixed review for Pitchfork, Larry Fitzmaurice wrote that the project "finds him in limbo between the bleary-eyed vibe of his early mixtapes and the bulletproof pop stylings of his last two albums", praising the album's production and "Tesfaye's still-sharp ear for cool, contemporary sounds", but criticizing similarities to his earlier work – specifically between "Call Out My Name" and "Earned It", as well as "Hurt You" and "I Feel It Coming" – and concluding that "it's too early in this stage of Tesfaye's career to so obviously attempt to replicate past glories".

My Dear Melancholy was also the shortest album, by track count, to top the Billboard 200 in eight years, a feat previously done by Glee: The Music, Journey to Regionals.