Allmusic's Greg Prato rated the album at four stars and called
That One Night "further hard proof" that Megadeth is "one of the most precise and tight thrash bands".
About.com's Chad Bowar also rated the album at four stars and stated "everything came together well for this release. The crowd is outstanding, even singing along to guitar riffs, and the band is in great form. The audio quality is excellent, and captures enough crowd noise without being distracting. Megadeth is one of the great thrash bands of all time, and this live CD is a good representation of their repertoire".
PopMatters's Andrew Blackie wrote in his page and praised
That One Night as a work superbly filmed, focusing on both capturing the facial expressions of the band members in mid-solo and the flashing light show, and the reaction of the bordering on over-enthusiastic crowd, who seem to know every word of every song, juxtaposing this with occasional footage of an incognito acoustic performance for fans earlier in the day. Blackie gave the album 8/10. ==Track listing==