Contemporary reviews of They Shoot Horses, Don’t They? were mixed. Some reviewers pronounced the novel a small masterpiece, while others chastised McCoy for supposedly imitating James M. Cain or compared him unfavorably—and unfairly— to Nathanael West, a writer working in a parallel but distinctly different idiom. Though not widely read anymore, McCoy’s novel is still generally regarded as one of the finest literary representations of the Great Depression.

Interest in They Shoot Horses, Don’t They? was revived in 1969, when director Sydney Pollack released a much-admired film version of the novel starring Jane Fonda as Gloria and Michael Sarrazin as Robert. (Actor Gig Young won an Academy Award for his portrayal of the Rocky Gravo character.)