It received favorable reviews from music critics, who commended the lush orchestration, its melody, and the group's vocal performance.

On the November 27, 1999, issue of Billboard Magazine, it was reported that Jive Records selected "Show Me the Meaning of Being Lonely" as Millennium's third single.

"Show me the meaning of being lonely/Is this the feeling I need to walk with/Tell me why I can't be there where you are/There's something missing in my heart," they sing in the chorus.

"[7] Chuck Taylor of Billboard named it a "keepsake ballad that will have the quintet's loyal legions panting over their loss and loneliness."

Taylor also called it "a beautifully produced anthem" and praised its melody, saying, "It will instantly lock itself into the pop culture consciousness."

Taylor finished his review, writing that the single is "the best ballad of the season and a sure-fire way to return the Boys to full glory.

"[8] Arion Berger of Rolling Stone commented that the song "digs its melodic claws into your skull on the first listen—it's the swooniest blending of the five vocalists' timbres to date, and mighty pretty besides.

[17] It only performed moderately in Australia, where it reached number 19, becoming their lowest charting-single since "Quit Playing Games (with My Heart)" in 1997.

[18] "Show Me the Meaning of Being Lonely" was nominated for a Grammy award on the 43rd ceremony for Best Pop Performance by a Duo or Group with Vocals, but lost it to Steely Dan's "Cousin Dupree.

AJ McLean is shown holding a picture of a girlfriend, which is dedicated to a dear friend of his who died in a car accident.

AJ McLean's scenes take place on a coach bus, which is driven by an actor who looks like Denniz Pop while mourning the loss of a girlfriend whose photo he carries.

While the woman lights the memorial candles for the deceased, the five band members congregate and begin walking down the street together.