In addition to "At Close Range", Foley also directed and produced the song's video. The video serves as a publicity campaign for the movie, as it includes brief scenes of the film that indicate the conflict the young man in the movie—played by Sean Penn—feels. The locations in the film are separated visually from the shots of Madonna, who is singing in a darkened studio. Unlike her previous videos, Madonna portrays a narrator, whose song comments on the story, appearing in shots completely different from the narrative action. She appears to speak for the character, addressing his problems directly, like the chorus of a classical tragedy.