[1] The song was written and produced by Twigs, Koreless, Benny Blanco, Cashmere Cat, Nicolas Jaar, Skrillex and Noah Goldstein.
"[2] Rolling Stone's Jon Blistein wrote that the song "finds Twigs caught in the throes of unrequited love, deep passion and heartbreak.
"[5] Musically, Twigs' vocals on the song are distorted, and the production was described as "shift[ing] between an atmospheric synthscape and industrial stomp," with digital effects that "suggest insistent rain, and a sly, scratchy bass drop [that] pierces the optimistic haze.
[15] In reference to the ending of the music video, Emily Lordi, writing for T: The New York Times Style Magazine, said, "the turn to the fantastic is signature Twigs.
"[13] Pitchfork gave "Sad Day" "Best New Track" and they described Twigs's vocal as "her own defiance and anger, before she slips effortlessly back into airy entreaties".