"shades of cool" received positive reviews from music critics. coplan of consequence of sound complimented the song for its "grace and sophistication". saran shetty of "slate" called "shades of cool" "a beautiful, brooding return to form [for del rey]", and opined that the single would "fit perfectly" in a "james bond" theme track. likewise, "rolling stone"s calyn ganz wrote that the track "would be perfect for a "james bond" film directed by quentin tarantino." lathan ryan from "popmatters" positively compared del rey's vocals on "shades of cool" to those of cocteau twins vocalist elizabeth fraser, observing that "del rey has never sounded better".