The music video for "Bedtime Story" was directed by Mark Romanek and is listed as one of the most expensive music videos of all time at a cost of $5 million ($7.74 million in 2015 dollars). It features surrealistic and new age imagery, with influences from artists such as Remedios Varo, Frida Kahlo and Leonora Carrington. The video received critical acclaim from critics and was stored in a collection at the Museum of Modern Art in New York City.