The Sky's Gone Out was released in October 1982 by the record label Beggars Banquet.
The initial limited edition included the live album Press the Eject and Give Me the Tape as a bonus. The compact disc reissue dropped the run-out speech from the final track "Exquisite Corpse" (which, like the snoring on the song itself, was done by the band's sound engineer Derek Tompkins) and the vinyl edition contains a short recording of drummer Kevin Haskins reading from the play Baal. The Canadian edition of this album also contained a free 12" vinylsingle featuring "Ziggy Stardust", "Kick in the Eye" and "Lagartija Nick". This version did not have the distinctive artwork from the US and UK editions, but was instead an enlargement of the cover art from the "Terror Couple Kill Colonel" single.
In his retrospective review of the album, Ned Raggett of AllMusic wrote, "On balance it's quite a fine album, but unlike Mask it misses the infusion of a more positive energy, and simply doesn't gel as perfectly, more notable for individual songs than as a whole."