Critics have said The Return of the Space Cowboy continues the style of Jamiroquai’s 1993 album Emergency on Planet Earth, and some have considered it an improvement in comparison, with Daryl Easlea writing it “captures this first phase of Jamiroquai at their very best.” John Bush of AllMusic said the album “offered a better set of songs and more ambitious musical themes … Jason Kay’s dead-on impression of Stevie Wonder and Sly Stone drives the group’s blend of acid jazz and funky R&B” Paul Evans of Rolling Stone wrote, “Jamiroquai parlay jazzy soul pop so tight it crackles … Nowadays, when most funk comes out of cans, Jamiroquai’s live spark glows.” Evans also said the album “recall[s] Roberta Flack and Weather Report”, and a reviewer of Musician compared it to both Wonder and Mandrill: “with its vintage keyboards, jazz harmonies and fondness for rambling, jam-oriented arrangements”. Entertainment Weekly described the band as “a funk-making machine with a bright future in the past”, while The Source said that they “may still be light years ahead of the hip-hop world.” Writing of the lyrics, Sonia Murray of The Atlanta Constitution opined that “Jamiroquai challenges our numb response to violence, the lure of material trappings, even ‘the shame of [his] ancestry’ with a spirit so unencumbered and personal that these searing messages feel like engaging talks over coffee.”
Neil Spencer of The Guardian commented: “Most of this second album still sounds like vintage Stevie Wonder and Johnny ‘Guitar’ Watson, but Kay’s vocals are as snappy and engaging as his extrovert persona”. David Sinclair wrote that the album “combines intricate arrangements with several long, free-form workouts crammed with virtuoso performances.” He also considers Stuart Zender’s bass-playing “the most telling contribution to the album’s relentless bustle and drive.” He however wrote that “the album is marred by a tendency to substitute technique for tunes.” Andy Gill of The Independent found several of the tracks too long. In a negative review, Mark Jenkins of The Washington Post described the album as “one of 1995’s least digestible servings of leftovers.”