The music video was directed by Walter Stern and filmed on June 26–27, 1998 at London's famous Savoy Hotel and Piccadilly Circus. The video features Madonna leaving her home and being chased by paparazzi. She is constantly running, even from the other celebrities in a hotel bar. In this scene all the celebrities faces, except Madonna's, are distorted to make everyone look demonic. One of the most striking and memorable moments of the video occurs when Madonna passes a hotel maid, smiling at her. Madonna returns the smile. Then the camera goes off; the maid has just taken a picture of her. Madonna flees, running all the way home to her daughter's (not played by Madonna's real daughter, Lourdes) arms, singing that she's "changed her mind" about being a celebrity.
The video created a lot of controversy in 1998 due to the scenes that feature Madonna being chased by paparazzi on motor-bikes, a scenario similar to Diana, Princess of Wales's death in 1997. The video premiered in Europe on July 25, 1998 and remained unavailable in North America until the release of Madonna's DVD compilation The Video Collection 93:99.