Premiering on January 10, 2020, the video depicts Halsey going to "an underground country western nightclub, where a lot of beautiful people are line-dancin".

[6] When talking about the inspiration for the outfits, Halsey confirmed a number of artists, writing, "Xtina, Gaga, Carrie, and of course Shania, this was one loaded with nods to badass idols of mine.

[8][9][10][11][12] In terms of music notation, "You Should Be Sad" was composed using 44 common time in the key of B minor, with a tempo of 120 beats per minute.

[17] Aidan Cullen from Billboard wrote about how the song plays on "country-western motifs to bring rootsy weight to Halsey's verbal revenge".

[18] The song peaked at number 26 on the Billboard Hot 100, and reached the top 20 on the record charts of several countries, including Australia, Austria, Czech Republic, Denmark, Hungary, Ireland, and Scotland.

Tom Breihan of Stereogum called the video "completely ridiculous" though he praised the homage to Shania Twain's "That Don't Impress Me Much".

[23] Stephen Daw of Billboard was more positive in his review, praising the pop culture references to Twain and Lady Gaga's American Horror Story: Hotel character, The Countess.

[25] For the Season 13 finale of RuPaul's Drag Race, Utica Queen performed the song as a lipsync, dressed in a black bodysuit and cowboy hat while tied up and surrounded by string.