As Madonna finishes singing the intermediate lines, "Close your eyes, sleepy-head, It is time for your bed, Never forget what I said, Hang on...", a trumpet starts playing alongside the main rhythm. The breakdown has the feel of Spanish music, with the glissando evoking the string arrangements. This is followed by the bridge and the chorus being repeated twice. "Dear Jessie" ends with all instrumentation and vocals fading out, except the orchestra, which is equalized to make it sound very thin and trebly, as if coming out from a distorted radio. The lyrics encourage the young girl Jessie to use her imagination. It summons up a psychedelic landscape, where pink elephants roam with dancing moons and mermaids. It references fairy-tale characters and creates an image of children playing with each other.