Following its release, A Very Gaga Holiday received mixed reviews from music critics. Reviewer Stephen Thomas Erlewine, writing for Allmusic, listed "White Christmas" and "Orange Colored Sky" as highlights, while Amelia Proud, writing for the Daily Mail, found the release to be uninspiring and weaker than Gaga's other works. A Very Gaga Holiday entered the album charts of Canada, France and the United States, while "White Christmas" entered the singles chart of Belgium, Japan and the United Kingdom.
Gaga covered "Orange Colored Sky" during a surprise appearance at The Oak Room in New York City on September 29, 2010, and again on January 5, 2011.Brian Newman served as a guest performer on trumpet for performances at the Robin Hood Gala on May 9, 2011, to benefit the Robin Hood Foundation, and at BBC Radio 1's Big Weekend in Carlisle, England on May 15, 2011. Gaga later performed it on the ABC Christmas special A Very Gaga Thanksgiving, along with a cover version of "White Christmas". Gaga put emphasis on the jazz side of the song. She added a second verse, describing the original song as "too short". In the verse, Gaga describes a snowman, saying that Santa Claus is on his way to meet him. The lyrics end with Gaga saying, "Okay, so I suppose it's not very white outside yet." The songs on A Very Gaga Holiday were recorded during the shooting of A Very Gaga Thanksgiving at the Convent of the Sacred Heart, New York City.
On November 22, 2011, A Very Gaga Holiday was released as a digital EP. Both "Orange Colored Sky" and "White Christmas" were included in the release, along with two other tracks which were also performed: minimalist versions of Gaga's 2011 singles "The Edge of Glory" and "You and I", both songs which originally featured on Gaga's second studio album, Born This Way.Interscope Records announced the release after the opening of the Holiday Wonderland Gaga Workshop at Barneys New York. It was released in the United States to the iTunes Store and Amazon and had a worldwide release to iTunes after four days.
Gaga's cover of "White Christmas" is a "jazzy rendition" and features an extra verse about a snowman. Halfway into the cover, before beginning the new verse, Gaga says, "So as you can tell, I'm very outgoing and a little bit shy, but I've decided that this song is just too short. It's such a beautiful Christmas song but it's only one verse, so I added an extra one." "You and I" is devoid of the musical arrangements from the version in Born This Way, and features instrumentation from a piano and a trumpet, which is played halfway through the song. From time to time, Gaga shouts the word "America" while singing the song. Her acoustic version of "The Edge of Glory" begins with a monologue, explaining her dedication of the song to her grandfather: "It's the second Thanksgiving I'm spending without my grandpa, and I wrote this song about him, so here it is. So Grandma, if you're watching at home, this one's for you." Following the first chorus, Gaga stops playing her piano and tells a story about Italian cookies. A recurring theme for the songs is Gaga stopping midway through singing to engage in conversation with the listeners.
Stephen Thomas Erlewine from AllMusic awarded the EP three out of five stars, saying that the release was an "attractive holiday bauble" and that although Gaga's main persona was about authenticity, she appeared to "push her affectations" much more than required on the songs. Erlewine picked "White Christmas" and "Orange Colored Sky" as his top choices from the EP. Evigshed Magazine's Sylvia Lesas complimented the musical arrangement of the tracks, saying that Gaga's vocals were a highlight of the EP and adding, "'The Edge of Glory' featuring beautiful piano line gives me chills. It is a truly moving version. [Gaga] makes every song special." Erin Strecker from Entertainment Weekly gave a glowing review of the release, explaining that Gaga's fans might have been expecting an release like A Very Gaga Holiday which gave prominence to the singer's vocals. She added that the songs showed "how much her voice really is well-suited for the big-band and jazz-era stylings on these tunes".