A dance-pop and gospel-house track, the song is accompanied by the sound of thunder and rain, with the lyrics talking of romantic love rescuing the singer.

[6][7][8] A video clip consisting of compiled footage from Madonna's 1987 Who's That Girl World Tour was eventually released to accompany the single.

[11] It was recorded at Axis Studios in New York City by engineer P. Dennis Mitchell, who was assisted by Curt Frasca and John Partham.

Peter Schwartz played keyboards and did the programming on the track with assistance from Joe Moskowitz and Junior Vasquez.

Reminiscent of the songs by British synth-pop duo Yazoo and other 1980s disco acts, "Rescue Me" has Madonna growling the lines, especially towards the end.

The thick arrangement has backing vocals by Dian Sorel, Catherine Russell and Broadway actor Lillias White.

[13] According to Katharine Birbalsingh from The Daily Telegraph, the confessional lyrics found Madonna reaching out directly to the listener, "pleading for the love and attention" needed through the lines like "You see that I'm ferocious, you see that I am weak / You see that I am silly, and pretentious and a freak" before it turned to an affirmation of her grit.

[19] Rikky Rooksby found the "growling" vocals by Madonna to be "ill-advised" but was positive about the ending of the track with the sound of the rain and thunder.

[13] David Browne from Entertainment Weekly called the song as a "flimsy 'Vogue' rewrite" in his review for The Immaculate Collection, feeling that it did not break "new ground" for the singer.

[20] Alan Jones from Music Week stated that Madonna "moves uptempo with a rhythmically apposite dancefloor contender which will shine at retail too."

"[21] James Hamilton from Record Mirror described it as "a gospel chorus punctuated at turns rasping and mumbling plaintive unhurried trotter".

[27] James Rose from Daily Review noted that with the song Madonna began "a phase of her career that oscillates between cynical self-exploitation and courageous self-expression.

Raunchy videos, explicitly themed lyrics and boudoir beats became de rigueur for the lady now arguably bearing the biggest name in popular music.

He opined that the song heralded the singer's future musical endeavors with fifth studio album Erotica (1992), and was "innovative for its time" bridging the gap between Madonna of the 1980s and 1990s.

[29] Chuck Arnold from Entertainment Weekly listed "Rescue Me" as Madonna's 45th best single, writing that "if 'Vogue' had a gospel choir taking it to church, it might sound something like ['Rescue Me']".

[30] While ranking Madonna's singles in honor of her 60th birthday, Jude Rogers from The Guardian placed the track at number 44, calling it an example of the "over propulsive early-90s electronica".

[31] In March 2023, Billboard ranked the song as Madonna's 99th greatest ever, with Joe Lynch writing: "Tension-laden synths, a bubbling bass line and a warm house beat swirl like a baptismal rainstorm".

[32] In the United States, Michael Ellis from Billboard noted that "Rescue Me" had entered the Hot 100 Airplay chart prior to its commercial release, and had already climbed to number seven.