June 30, 1992: "This Used To Be My Playground" premiered on MTV a day before the release of A League of Their Own.

The accompanying music video, directed by Alek Keshishian, was filmed in June 1992 at Raleigh Studios in Hollywood, California and Malibu Beach. It premiered on MTV on June 30, 1992, a day before the release of A League of Their Own. The video shows a man viewing a photo album, as Madonna sings in different settings from within the various pictures. Scenes from A League of Their Own also appear on the album during the song's instrumental break. As the video ends, the man having reached the end of the album, then scrolls backwards through the previous pages. The video was commercially released in 2004 as a bonus feature on the 2-disc special edition DVD of A League of Their Own. According to Rettenmund, unlike most music videos related to film soundtracks, "This Used to Be My Playground" did not give emphasis on having shots from the film in the video itself. Instead Keshishian and Madonna chose introspection as the theme, with simple images to portray them. Rettenmund notes, "At the end, the man who has been looking back at his scrapbook of Madonna lays his head down, sealing the video with the perfect bit of sadness to resonate with Madonna's ennui."

The video has been compared to Boy George's video for his 1987 single, "To Be Reborn", released less than five years before "This Used to Be My Playground". In George's video, he also appears on pages of a photo album, performing the song. George himself stated in his autobiography that he was "furious" after watching Madonna's video and renamed it "This Used to Be My Video".