Written and produced by Madonna and Stephen Bray, "Each Time You Break My Heart" charted on both the US dance charts and the top 50 in the RPM charts in Canada. Madonna had originally written and recorded the song for her third studio album, True Blue, but it did not make the cut. Her original version remains unreleased officially, but has leaked onto the internet. It is almost identical in melody and structure to Kamen's version. The Japanese promo 7" sent to the DJ was released in unique black and white custom picture sleeve featuring Madonna and Nick Kamen in a studio.
A writer for Billboard magazine listed the song as one of the "New and Noteworthy" singles released, saying that the combination of the writer and the producer duo, along with Kamen's looks would make the song popular. The reviewer added that the song was musically "light synthpop" and vocally reminiscent of The Bee Gees. The song achieved success in many European countries, including Ireland, Italy, UK, Swiss, and in the U.S. it was a top five hit on the dance charts.