As one critic notes, the lyrics of the song reflect Hopkins' "constantly self-medicating in the face of depression." However, even though the lyrics' "hopefulness shriveled into empty promise", the performance of the song "is emotionally detached from Hopkins' afflictions" and presents a "sunny soundtrack" for his depression.
The lyrics originally contained the line "you can trust me not to drink", referring to Hopkins' addiction, but this was changed by the band.
Initially largely unnoticed due to its placement on the unsuccessful Dusted, "Hey Jealousy" enjoyed success upon the release of New Miserable Experience. A review by Rolling Stone called the song "manna for radio", highlighting "the ease with which this quintet casts hooks".Allmusic staff writer Rick Anderson stated that "'Hey Jealousy' and 'Until I Fall Away' are the two songs that leave the deepest impression".