In 1985 Zorn had been working in New York City's experimental music scene for almost a decade (the album was originally to be called "Once Upon a Time in the Lower East Side"), but The Big Gundown launched him to wider prominence. In the notes for the 2000 reissued CD, Zorn describes The Big Gundown as representing a creative breakthrough as well for being the first time he worked extensively with multi-track recording, overdubbing and ornate orchestration. Though his main instrument is alto sax, Zorn did not play on most tracks, adding only a few touches of piano, game calls, harpsichord or musical saw.
The Allmusic review by Scott Yanow awarded the album 4½ stars stating "There are certainly no dull moments on this often-riotous program".
The Penguin Guide to Jazz selected this album as part of its suggested "Core Collection" and awarded it a "crown", calling it "utterly remarkable in every way and one of the essential records of the '80s".
Guy Peters stated "Genre-bending and ambitious, John Zorn’s conceptual tribute to the film works of Ennio Morricone might very well be one of the most adventurous albums of its era. Indeed, The Big Gundown can be seen as one of the most successful proponents of the prevailing deconstructionist approach to music and literature... not only one hell of a tribute, but also quite a statement, one that would characterize Zorn’s entire career... The Big Gundown is sometimes hard to get into, but frequently it’s a hilarious trip through musical plurality materialized, and while that may sound pretentious, the most important that I wanted to convey is that it’s often stunningly creative, and always captivating".
The Rolling Stone review by Steve Futterman was less impressed stating "Despite high-spirited contributions from a first rate cast, Zorn's tentative and analytical remakes tend to bleed Morricone's high drama and joyous kitschiness dry".