[1][2] The song is featured in the motion picture Widows directed by Steve McQueen and centered on four women forced to pull off a robbery to pay a large criminal debt left behind by their late husbands.

In his interview to Los Angeles Times he stated that "Sade is an incomparable talent and incredible artist who so rarely releases new material, but luckily the original series of Widows had deeply resonated with her.”[6] Chris DeVille of Stereogum commented "The Big Unknown" [...] is a song that puts Sade's myriad imitators to shame — a minor-key ballad that manages to land some heavy emotional blows despite its impeccably tasteful lite production.

"[7] Lars Gotrich of NPR wrote "But as Sade does, "The Big Unknown" bottles a sadness that is both overwhelming and resolute, determined to make the world right, but understands that grief forever breaks our bodies and souls.

"[8] Dominiq Robinson of AXS noted "[The song] radiates melancholy vibes as Sade's warm voice floats over slow-tempo piano chords and heavy bass.

The drums appropriately take a backseat to the vocal and melody tracks allowing Sade to emote the somber lyrical content of one attempting to withdraw themselves from slipping into the depths of depression and mental anguish.