January 12-18th 1993 "Bad Girl" was filmed on location in New York City, directed by David Fincher, who worked with Madonna on her videos for "Express Yourself", "Oh Father" and "Vogue."

The music video for "Bad Girl" features Madonna playing the character "Louise Oriole" (Madonna's middle name is Louise and Oriole is a street she once lived on), a high-powered and successful but ultimately lonely Manhattan female executive who is a chain smoking alcoholic who has a penchant for one-night stands with many different men (from affluent yuppies to shady low-lifes). 

She behaves this way in order to try and deal with her depression and sadness over a relationship with someone she loves deeply, but ultimately has no future. Through her days, Louise gets distracted by cigarettes, cocktails, and random hook-ups, as lamented in the song's lyrics. Christopher Walken plays her guardian angel, who watches over her self-destructive activities. 

In one scene Louise wakes up alone in her bed after a one-night stand and discovers a hand-written note laying on the pillow beside her. She is clearly upset after reading the note and she crumples it and throws it to the ground. Another scene shows her passed out on an easy chair after drinking an entire bottle of wine in one sitting. 

The next scene shows her guardian angel reading the note which simply reads "thank you whoever you are." In a later scene her guardian angel delivers Louise with a "kiss of death" before her final encounter with a man, during which it is suggested she was strangled with pantyhose.After her death, she reappears as a spirit alongside with her guardian angel overseeing the police taking her body away to the morgue. Author Carol Vernallis, in her book Experiencing Music Video: Aesthetics and Cultural Context, points out that there are several examples of "iconic imagery" throughout the music video which helps the viewer predict the final outcome of Madonna's character. According to Vernallis, Madonna's black dress, encased in dry cleaner's plastic symbolizes the body-bag she will eventually be carried out in; her cat hissing at her suggests that she is a ghost or a figure that bears a curse; and a doorway that she passes through during the music video looks like the entrance to Hades.

Matt Dillon has a short uncredited cameo in the video

After directors Ellen von Unwerth and Tim Burton both rejected offers to direct the music video, it was eventually directed by David Fincher, who worked with Madonna on her videos for "Express Yourself", "Oh Father" and "Vogue." it was filmed on location in New York City on January 12–18, 1993. Besides Walken, the video also features appearances by actors Mark Margolis, Tomas Arana, Rob Campbell, James Rebhorn, and an uncredited cameo appearance from Matt Dillon, who plays a crime scene detective.

The video clip was the first time that Madonna was shown wearing penciled-on eyebrows, after shaving them prior to the filming of the video for her previous single "Deeper and Deeper." Madonna said her idea for the video was influenced by the 1977 American film "Looking for Mr. Goodbar - a film in which the main female character is stabbed to death by a one-night stand. It also took inspiration from the 1987 Franco-German romantic fantasy film "Wings of Desire" - a film which includes invisible, immortal angels populate Berlin and listen to the thoughts of the human inhabitants and comfort those who are in distress.

When Scott Kearnan of Boston.com included "Bad Girl" on his list of "30 Best Madonna Songs," he commented that the cinematic music video for the song reinforces the fact that "while Madonna is indisputably sex-positive, her outlook on the complex emotional intersections of sex, power, and self-confidence is not without nuance." In his book Madonna as Postmodern Myth, author Georges-Claude Guilbert describes the video as "a masterpiece of the [music video] genre" which coveys a "conventional moral message" of the possible dangers of a one-night stand. In a 2012 Billboard Magazine reader's poll which ranked Madonna's best music videos, "Bad Girl" was voted in at number nine.