In the United Kingdom, the song's explicit lyrical content prompted Warner Bros. Records to issue "Sexy MF" as a double A-side with the more radio-friendly "Strollin'"; however, UK radio stations preferred airing the former track.

While specific recording dates are not known, basic tracking took place in early December 1991, at Paisley Park Studios, Chanhassen, MN, USA (during the same set of sessions that produced "Love 2 the 9's", "The Sacrifice of Victor", "The Morning Papers", "Arrogance", and "And God Created Woman").

He added, "Naturally, there's no hope of getting airplay for such a song, especially since it's a maddeningly monotonous one-chord wonder with only a moderate measure of lecherous panache and a fair-to-middling brassy hook to recommend it; so the languid "Strollin'" has had to be pulled from the last LP to lende the single commercial potency.

"[4] A reviewer from Music Week commented, "It's a very sparse, basic groove not dissimilar to those churned out by James Brown in the Sixties, with lyrics that are alternately facile and controversial, the latter of which will keep airplay to a minimum.

[7] Charles Aaron from Spin found that the "Sexy MF" video "is simply Prince playing catch-up with Madonna's "Justify My Love" and hundreds of pimpin'-ain't-easy hip hop clips.

"[10] In a 2020 retrospective review, Andy Healy from Albumism called "Sexy MF" "raucous", noting the "funk stew" with "its punching beat and irresistible callout backed by powerful horn blasts".

[12] In 2019, Alexis Petridis from The Guardian ranked the song number 11 in his list of "Prince's 50 Greatest Singles", writing that it "offers up a JB's-ish groove that's simultaneously raw and tightly controlled, a chorus punctuated by the kind of lip-smacking noise also featured on Kiss and its author on superb priapic form: "I got wet dreams comin' out my ears!