In an interview with BBC Radio 1's Newsbeat, Newman said he hopes his "simple, memorable and anthemic" song will help win votes at the Eurovision Song Contest. He feels his song will "connect" with the audience and says he has a "massive opportunity to get my song out to the world in such a big way". Newman is signed to BMG, who worked with the BBC to select and produce this year's entry. After Newman was approached, he said he had a "little think" before saying yes but decided Eurovision was a "celebration of music". He said, "Since I was a little kid, I've always wanted to be an artist and performer myself. It just feels like the right time to start putting songs out." The song was written in Scotland when he was staying near a loch with his mates, Ed Drewett, Iain James and Adam Argyle, Newman said, "We were jumping in the loch every morning. This was January. It was freezing." The song was inspired by a documentary about a diver in the North Sea who has to be saved after getting cut off from the rest of his crew, and the video features Dutch cold water swimmer Wim Hof. Newman also said, "It got us thinking about what you would for other people." Iain James was one of the co-writers for Azerbaijan's 2011 winning entry, "Running Scared" which was performed by Ell & Nikki.
My Last Breath received mixed reviews from music critics. In his review for The Times, Will Hodgkinson considered that there "are no disastrous lapses into kitsch, but not much character either" in the "disappointingly tasteful" song, and judged that it is "simply too boring to win." Jochan Emblay of the Evening Standard dubbed it a "nailed-on nil points" and a "by-the-numbers slog of woah-oh balladry," although conceded that it had a "fairly catchy" hook and "would be fine" as an album track. Louis Staples of The Independent gave the song a scathing review, describing it as "what would happen if a River Island pleather jacket, an X Factor winner's single and your uncle's midlife crisis had a child together" as well as "the MP3 embodiment of that co-worker who needs at least four pints to develop a personality at after-work drinks." The Guardians Alexis Petridis was also unimpressed, describing it as "serviceably bland," and added that while the song "wouldn't sound out of place on the Radio 2 playlist," it wouldn't "stand out on the Radio 2 playlist"; he also questioned Newman's decision to represent the UK at the competition, given his success as a songwriter, asking "are you possessed of some crazed, masochistic desire to give a succession of brave smiles to camera and half-heartedly wave a little union jack on a stick as Belarus gives the UK a desultory deux points and we’re left for dust on the leaderboard by North Macedonia?" Other's reacted more positively. Joe Anderton of Digital Spy described it as "a perfectly solid radio-friendly tune to launch a solo career with," although added that "it remains to be seen if it's got the drama to really stand out in the competition." BBC music reporter Mark Savage noted that when played on Radio 1 between tracks by Harry Styles and Dua Lipa, "it didn't sound like his show had been hacked," concluding that "it doesn't feel like a winner but nor does it feel like an embarrassment. And that, at least, is progress." The song did however get relatively positive reviews in alternative programming in some countries. The Austria's ORF aired Der kleine Song Contest in April 2020, which saw every entry being assigned to one of three semi-finals. A jury consisting of ten singers that had represented Austria at Eurovision before was hired to rank each song; the best-placed in each semi-final advanced to the final round. In the first semi-final on 14 April, "My Last Breath" placed fourth in a field of 14 participants, achieving 66 points, with a minimum of 4 and a maximum of 10. The song also unsuccessfully took part in Norddeutscher Rundfunk's Eurovision 2020 – das deutsche Finale but it fared well in Sveriges Television's on 14 May, placing in both its jury and televote top tens.
