[1] It was the duo's first single release on Virgin Records, as their previous label, Blanco y Negro, had dropped them before the Todd Terry remix of "Missing" became a worldwide hit.

Andy Beevers of British newspaper Record Mirror gave "Walking Wounded" a ranking of five out of five, praising the band for not reworking one of their older tracks and comparing it to Tracey Thorn's collaborations with Massive Attack, describing the single as a "melancholy downbeat song" and the main vocal mix as "atmospheric".

[5] Timothy White of Billboard magazine called the track "foreboding" and noted that both it and "Wrong" "represent further advances in Thorn and Watt's proficiency at bending the jungle/drum-and-bass dance rhythms of London's clubs and New York's deep house scene to their own neo-jazz-pop purposes".

[3] Victoria Segal from Melody Maker said it "is very fine indeed, Tracey's voice almost unbearably vulnerable as it threatens to fall through the gaps in Spring Heel Jack's spacious, rolling mix.

[7] In 2021, Justin Chadwick of music website Albumism wrote that the song "begins in atmospheric, subdued fashion before gloriously morphing into hypnotic drum and bass patterns".