 "Frozen" was generally acclaimed by music critics. Sal Cinquemani from Slant Magazine gave the song a positive review, praising its production and claiming it was "one of the great pop masterpieces of the 1990s. Its lyrics are uncomplicated but its statement is grand." David Browne from Entertainment Weekly had said the song was a "wuthering-beats melodrama that's often breathtaking." Billboard's Paul Verna described the song as "smashing". In a separate review, Larry Flick called it a "stunning foray into the realm of electronica [which] [...] underground purists and unwavering popstars will equally applaud". Rob Sheffield from Rolling Stone commented positively about the "arctic melancholy" of the song. Stephen Thompson from the The A.V. Club approved the song's melodic beat and the sound, but he did dismiss the lyrics. The Baltimore Sun's J.D. Considine called it a word-focused, emotionally nuanced ballad. Jon Pareles from The New York Times was impressed how Madonna, dulcet and careful, performed the song. Joan Anderman from The Boston Globe said that on Ray of Light, only "Frozen" achieves a "state of divine balladry", recalls the "emotional pitch" and simmers the "beauty of 1986's' Live to Tell ' with a dark, lush string section, the smash and patter of a lone drum, and an ominous, pulsing buzz".
