"The Sky Is Crying" is a slow-tempo twelve-bar blues notated in 12/8 time in the key of C.[3] It is an impromptu song inspired by a Chicago downpour during the recording session:[2] The sky is crying, look at the tears roll down the street (2×) I'm waiting in tears looking for my baby, and I wonder where can she be?

The songs features prominent slide guitar by James with his vocals, accompanied by his longtime backing band, the Broomdusters: J. T. Brown on saxophone, Johnny Jones on piano, Odie Payne on drums, and Homesick James on bass.

[9] Record producer Bobby Robinson noted that the song is "a magnificent vehicle both for Elmore's emotion-packed blues vocal and his ringing slide guitar".

[12][11] Critic Dan Forte noted, "Stevie tips his Clint Eastwood hat to two of his idols: Elmore James, who wrote the tune, and Albert King, who also recorded it, and whose influence is evident in every lick and bend here [on the 1991 release].

[13] Eric Clapton played a version of the song at a small live show at RD Studios in Park Royal, London, on December 8, 2023.