Underworld received high acclaim from literary critics, particularly for DeLillo's prose and ambition. David Wiegand of the San Francisco Chronicle declaring it DeLillo's “best novel and perhaps that most elusive of creatures, a Great American Novel." Many have described the book as emotionally powerful. David Foster Wallace wrote Delillo a letter in 1997, praising the novel and Delillo's talent. He described "the book as an organic thing" and stated that
This novel is (1) a great and significant piece of art fiction;(1a) not like any novel I've read;(2) your best work ever, so far; (3) a huge reward for someone who's read all your previous stuff because it seems to be at once a synthesis and a transfiguration – a transcendence – of your previous stuff; (4) a book in which nothing is skimped or shirked or tossed off or played for the easy laugh, and where (it seems to me) you've taken some truly ballsy personal risks and exposed parts of yourself and hit a level of emotion you've never even tried for elsewhere(at least as I've read your work).
He also remarked on the phonetics of the novel, telling Delillo "you use these Saxonic devices heavily and over and over and yet the prose never seems heavy or straining; in fact just the opposite: it always seems exquisitely controlled, sober, poised rather than lunging."
Other critics, however, praised DeLillo's prose but found the novel overlong and argued it could have benefited from more editing. On Salon.com, Laura Miller wrote that “Nick's secret, the one that supposedly provides the book's suspense, proves anticlimactic."
In May 2006, The New York Times Book Review named Underworld as a runner up for the best work of American fiction of the previous 25 years.
The well-known literary critic Harold Bloom, although also expressing reservations about the book's length, has said Underworld is "the culmination of what [DeLillo] can do" and one of the few contemporary American works of fiction that "touched what I would call the sublime," along with works by Cormac McCarthy (Blood Meridian), Philip Roth (American Pastoral and Sabbath's Theater), and Thomas Pynchon (Mason & Dixon, Gravity's Rainbow and The Crying of Lot 49).