With its frank portrayal of sexuality, Miss Julie has been a controversial play since its inception—even before it was produced onstage. Initially, Strindberg was only able to get the play published, and reviews of this published version were largely negative. Michael Meyer, in his biography Strindberg, quoted a number of early critics. The play was called "a filthy bundle of rags which one hardly wishes to touch even with tongs" as well as "a heap of ordure ... [with] language that is scarcely used except in nests of vice and debauchery." One critic cited in Meyer's book prophesied that the play "will surely nowhere find a public that could endure to see it " Another said that, in order to write Miss Julie, Strindberg "must.. have been troubled by some affectation of the brain which rendered him ... not wholly normal."

Production of the play was initially banned by censors, but Strindberg, who opened his own experimental theater company in order to produce the play was able to have Miss Julie shown privately in Copenhagen in 1889. In the next few years, the play was banned in various European countries, and it was not until 1906 that Miss Julie was performed publicly in Sweden. While the play gradually began to receive more frequent productions, it continued to be perceived as shocking. As Margery Morgan noted in her book August Strindberg, as late as 1912 one critic called the play "the most repellent and brutal play we have ever had to sit through." In spite of repeated censure and harsh criticism, however, the importance of Miss Julie was gradually recognized. According to Meyer, after seeing a production of the play, playwright George Bernard Shaw (Major Barbara) wrote of Strindberg as "that very remarkable genius who was -left by Ibsen's death at the head of the Scandinavian drama.''

Miss Julie is no longer considered shocking because of its sexuality, and critics have turned instead to viewing the play largely through the lens of psychology, a fledgling science in Strindberg's time. In Gradiva, Harry Jarv wrote that the pre-Freudian psychological theories of the 1880s focused on the elements of a personality but “did not produce a synthesis," a whole integrated personality. Jarv noted that other literary critics have found fault with Julie's lack of cohesiveness as a character. Jarv, however, pointed out the multitude of motivations Strindberg gives for Julie's actions in the preface and remarked that, in his understanding of personality, Strandberg was actually ahead of his tune. According to the critic, “the master psychologist Strindberg has managed, in Julie and Jean, to give form to the exceedingly complicated functional units of human personalities." Jarv also suggested that Strindberg drew upon elements of his own psychology in developing Julie. "Like Julie," Jarv wrote, "Strindberg had personally felt drawn to a life of the instincts, but at the same time he has perceived it as something shameful." Jarv's article focused on Strindberg's own battles with madness as well. As is often the case in Strindberg criticism, Jarv analyzed the play by offering an analysis of its author.

Writing at the same time as Jarv, Martin Lamm, in his book August Strindberg , also saw Julie as a psychological study. Lamm called her a "psychological enigma." According to Lamm, Strindberg's lengthy list of the "causes" of Julie's fall were an answer to Georg Brandes, who considered Julie's suicide "psychologically unbelievable." Lamm noted that there is no simple single-theory psychological explanation for the suicide. "Strindberg's intention," he wrote, "was to go beyond simple explanations for answers and to present...