Filmed at Glen Helen Park in Devore, CA on May 18, 1983 between 2:40 and 3:40 PM.

A music video compilation was also released by A&M Records alongside the album. It contained (in order) music videos for "Stay" and "Just Another Day" from Dead Man's Party, "Gratitude" from So-Lo, "Little Girls" from Only a Lad, "Nothing Bad Ever Happens" from Good for Your Soul, and "Private Life" from Nothing to Fear.

In "Ciao, Italia! Live from Italy" Madonna visits the land of her noble heritage for this high-energy concert video filmed in 1987. It contained footage from a previous TV special of the Who's That Girl World Tour, Madonna in Concerto, broadcast in Europe in 1987, filmed at the Stadio Comunale in Turin, Italy. The video release also contained footage from shows recorded in Florence, Italy and Tokyo, Japan. The tour supported her 1986 third studio album True Blue, as well as the 1987 soundtrack Who's That Girl.