
Stephen Holden of The New York Times described the film as "more of a backstage documentary" than a concert film.
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Hartlaub said "The comics all have their good and bad moments, but John Caparulo is arguably the most hilarious both on- and offstage" and "the movie is best when Vaughn plays off his own pop culture stature." Hartlaub also wrote that "director Ari Sandel paces the film well." Peter Hartlaub of the San Francisco Chronicle wrote "It's a funny comedy, and sometimes an even better drama" and called it a "nice companion piece" to the 2002 film Comedian. As of June 2020, the film holds a 59% approval rating on the review aggregator Rotten Tomatoes, based on 88 reviews with an average rating of 6.03/10, with the consensus that the film "has some entertaining moments, but is a mostly hit-and-miss documentary." Metacritic reported the film had an average score of 51 out of 100, based on 24 reviews. The film received mixed reviews from critics. The tour included an unscheduled matinee, with proceeds going to the Salvation Army for victims of Hurricane Katrina. Chris Henkel, Paul Ruffolo, Dave Rutherford, and Jani Zandovskis served as camera operators. Vaughn's older sister Victoria was also a producer. The two had met in 1990 while making an episode of CBS Schoolbreak Special. Vince Vaughn produced the film, along with his friend Peter Billingsley. The film highlights their performances on-stage and contains interviews with the various comedians.

The comedians traveled over 6,000 miles on their tour and included stops in the Western, Southern, and Midwestern states. Vince Vaughn acts as emcee and performs improv sketches with surprise guests. The tour began Septemin Hollywood at the Music Box Theater and spanned 30 shows over 30 consecutive nights in 30 cities across the United States. Vaughn picked four comedians from The Comedy Store in Los Angeles ( Ahmed Ahmed, John Caparulo, Bret Ernst and Sebastian Maniscalco) for the tour. The documentary follows the month-long live comedy variety tour of Vince Vaughn and four stand-up comedians in the spirit of Wild West shows.
