It was released as a single following up on the first single from Face Dances, "You Better You Bet", but did not achieve the same success, reaching number 47 in the UK and number 84 in the US. It has also been released on several compilation albums, and Pete Townshend himself released an alternate version of the song on his album Another Scoop.
Several authors, including Stephen Thomas Erlewine, regard the lyrics of "Don't Let Go the Coat" as an ode to spiritual guru Meher Baba. The title then refers to Meher Baba's charge that his disciples "hang fast to the hem of my robe," where the robe is a metaphor for his teachings. Alternatively, the song could refer to Pete Townshend's parents, who were the ones who would pick him up when Pete Townshend descended into drugs and alcohol. But regardless, the song strikes themes of spiritual torment, fear of abandonment and the need to keep faith, beginning with the lines:
I can't be held responsible for blown behavior
I've lost all contact with my only saviour
Musically, "Don't Let Go the Coat" has a country rock flavor. Authors Steve Grantley and Alan Parker describe the guitar sound as being similar to that of The Pretenders, and note that the Pete Townshend's guitar solo has Spanish inflections. John Atkins acknowledges that the song is melodic, but claims that it is bland and notes that it has less energy than "You Better You Bet." Grantley and Parker, while praising the "pristine production" by Bill Szymczyk, note that the song "never really gets out of first gear." Chris Charlesworth asserts that lead singer Roger Daltrey's bravado is ill-suited to the song's confession of inadequacy and unworthiness. Erlewine, however, claims that "Don't Let Go the Coat" is "one of [Townshend's] better odes to Meher Baba."