“There’s a Christmas record that comes out on Capitol Records every few years, and they were trying to get all their bands to do a cover version of a Christmas song. I didn’t think that’s what it was at the time. I thought it would be like sitting next to Frank Sinatra. But in fact it would’ve been, y’know, Skinny Puppy, doing ‘Merry Xmas Everybody.’ Anyway they’d said, Would you do one? And Liz suggested—it must have been for a joke—‘Frosty The Snowman.’ Then Robin went, ‘Yeah, good title, people will think it’s a normal Cocteau Twins song with a title like that.’ Once we’d got the music down, I wrote down the lyrics on a piece of paper and said to Liz, ‘Hey, look at these,’ and we were laughing away. As we were going through it I was listening to Liz’s reactions and thinking this is never gonna get done. She was going, ”He’s a very happy soul’—me sing that?! No way, I could not in a million years… ‘with a broomstick in his ‘—you’ve gotta be fucking kidding!’ I just didn’t think she’d do it.” ----- Simon Raymonde
Snow received fairly positive reviews from contemporary music critics despite its limited release. AllMusic's Ned Raggett called the EP "perfectly enjoyable," noted its calmness and praised Elizabeth Fraser's vocal performance. Hybrid Magazine's Tom Topkoff noted that the songs sounded similar to the group's non-holiday songs and declared that the album was "sure to bring you joy during each holiday season." Pitchfork named "Frosty the Snowman" the 36th best holiday song of all time.