At Metacritic, which assigns a weighted mean rating out of 100 to reviews from mainstream critics, the album received an average score of 70, which indicates "generally favorable reviews", based on 20 reviews.
Writing for Rolling Stone, Meredith Ochs praised the album for its "flashes of brilliance" and said that it probably marks the beginning of a successful career. She noted the progression from Tegan and Sara's previous "indie-folk" albums to a more "buoyant punk-pop" sound, inspired by 1980s pop. She cited "Where Does the Good Go" and "Speak Slow" as highlights.
In a review for allmusic, Stephen Thomas Erlewine gave the album a star rating of four out of five. He described it as ambitious and lively, and called it Tegan and Sara's "most satisfying album" yet. He noted a shift in sound from their previous recordings, with what he described as "a heavy dose of new wave sensibility". He commented that although "So Jealous" may be more accessible to a wider audience, Tegan and Sara may still be an "acquired taste". Michael Endelman of Entertainment Weekly gave the album a B+ rating and noted its new wave and rock influences.
Marc Hogan of Pitchfork Media gave the album a negative review, rating it 3.4 out of 10.
In December 2004, Rolling Stone anointed So Jealous one of the Top 50 records of 2004. 
On May 15th, 2014 the album's song "Where Does the Good Go" was played on the Season 1 Episode 4 and Season 10 Finale of the ABC drama Grey's Anatomy titled "Fear (of the Unknown)." The scene in which the song played was when Cristina and Meredith "dance it out" one final time.