Bill Coleman from Billboard wrote, "Latest release finds the elusive Purple One returning to fine form with a catchy, solid rock-n-funk-textured pop number that bodes well for the forthcoming Graffiti Bridge package.

"[5] In a 2020 retrospective review, Andy Healy from Albumism stated that the song is arguably one of Prince's "strongest moments on record" and a "haunting dance track", that "hits hard with its inventive drum programming (just pay attention to the hi-hat pattern) and the layered vocals hook you straight away."

He added, "Concise and packing a punch, the album version is an absolute masterpiece that is unbelievably improved upon in the extended 12" cut.

"[6] Stephen Thomas Erlewine from AllMusic called "Thieves in the Temple" "sinewy", picking it as one of the songs that "make Graffiti Bridge a thoroughly enjoyable listen.

"[8] In 2020, Rolling Stone described it as a "brooding, spiritual meditation on lies, rejection and soul-searching", stating that "with a Middle Eastern flavor, almost operatic vocals and an agitated feel, it was a decidedly new vibe for Prince.