The accompanying Steve McQueen-directed music video was announced in March 2015 and ultimately released in February 2016. The video sees West in a warehouse room running around, though he becomes tired and a song entitled "I Feel Like That" is played. "All Day" received widely positive reviews from music critics, who mostly praised West's vocals. The focus around his vocals was often placed on the flow and lyrical content, while a few critics complimented the catchiness of the song. It was named to year-end lists for 2015 by multiple publications, including NME and Pitchfork. At the 58th Grammy Awards, the song was nominated for both Best Rap Song and Best Rap Performance.
"All Day" reached the top 20 in the United States, the United Kingdom, and Scotland in 2015. It has since been certified platinum by the Recording Industry Association of America and silver by the British Phonographic Industry in the US and UK, respectively. The song was first performed by West at the 2015 Brit Awards, with the performance including flamethrowers and he was accompanied by numerous other rappers. West later performed it live on multiple occasions in 2015, including at the NBA Playoffs and Glastonbury Festival.