My Chemical Romance received mixed accolades for The Black Parade. Kerrang! rated The Black Parade as the fourth-greatest album of 2006.^[21] In Rolling Stone magazine's ranking of the top 50 albums of 2006, The Black Parade was voted the 20th best album of the year. My Chemical Romance went on to win the award for Best International Band at the 2007 NME Awards, and Gerard Way also won the Hero of the Year award.^[22] My Chemical Romance was also nominated for Best Alternative Group at the 2007 American Music Awards.

The band announced in a blog on their website that they would be going on a final tour in the United States before taking a break. At the same time, they announced they will be releasing a live DVD/CD collection titled The Black Parade Is Dead!, which includes two concerts from October 2007, the final Black Parade concert in Mexico, and a small show at Maxwell's in New Jersey. The DVD/CD was meant to be released on June 24 in the United States and June 30 in the UK, but was postponed to July 1 because of a technical fault with the Mexico concert.^[23]

In 2009, My Chemical Romance released a new single entitled "Desolation Row" (a cover of the Bob Dylan song) on February 1, 2009. It was recorded to feature as the end credit track for the 2009 film Watchmen, an adaptation of the graphic novel of the same name.^[24] The band then announced that they would be releasing "a collection of nine never-before-seen live videos, straight from the encore set of the Mexico City show from October 2007", entitled ¡Venganza!. The release came on a bullet-shaped flash drive and also contained exclusive photos of the band from the show. It was released on April 29, 2009.^[25]