The 4:46 minute music video for Scream was filmed in May 1995 and was directed by Mark Romanek with choreography by Travis Payne, LaVelle Smith Jr, Tina Landon, Sacha Lucashenko, and Sean Cheesman, and the production being designed by Tom Foden. Jackson did not create the concept for the video, which he had often done in the past, but left it to Romanek. Jackson later described the making of Scream as a collaborative effort. The song and its accompanying video are a response to the backlash Jackson received from the media in 1993.

The video begins with a sign showing the siblings' names which splits away to reveal a logo of the song's title. The scene then changes to a spacecraft traveling past Earth before the camera zooms in inside. The lights come on and reveal Michael and Janet inside individual capsules. During this sequence, the song's intro, a soundtrack of noise music with heavy sub-bass, uncharacteristic for the song's style, is heard. Suddenly, the spacecraft zooms out through the outer part of the galaxy, sending them screaming, and the song starts when the screaming Michael slams his hands on the capsule lid, shattering it.

In the first verse, Michael is seen in the room where he is floating in zero gravity. Then, Michael is shown in a room with several guitars where he breaks one while Janet sings the next verse. Then, it shows Michael dancing on the wall while Janet looks at her nails before playing a game of tag. Then, it shows Michael and Janet in a room where they are using a remote control to switch between pictures of Andy Warhol, art paintings, statues, etc. Next, it shows both Michael and Janet in the media room where they are playing a video game which Michael wins. Then, Janet sports a skimpy bikini in some scenes while at the core of the craft, grabs at her breasts, gives the camera a middle finger, and simulates male urination. Michael is shown taking controls into some kind of Observation. (In the out-takes, there is a still color photograph of Michael also giving the camera a middle finger.)

Michael is then seen in a white room while wearing a black robe where he is meditating before screaming which breaks the glass above him. The scene then shifts, showing Michael and Janet performing a dance breakdown. Then, it cuts back to the media room where Janet is dancing with Michael being seen on the television screen while Janet does the same thing with Michael. Then, Michael is seen playing a tennis game where he is using a robotic orb to break jars.

The video premiered in the summer of 1995, on MTV and BET and the next evening on ABC-TV's Primetime Live during Diane Sawyer's interview with Jackson and Lisa Marie Presley. The interview was broadcast to approximately 64 million viewers. The video is one of Jackson's most critically acclaimed. 

In 1995, Scream gained 11 MTV Video Music Award Nominations—more than any other music video—and won Best Dance Video, Best Choreography, and Best Art Direction. In reaction, Jackson stated that he was "very honored", explaining that he had worked "very hard" and was "very happy" with the reception up to that point. It was also given a Billboard Music Award for best Pop/Rock video. A year later, it won a Grammy for Best Music Video, Short Form; shortly afterward Guinness World Records listed it as the most expensive music video ever made at a cost of $7 million, although it was later refuted by the director. In 2001, VH1 placed Scream at number nine on their list of the 100 greatest music videos.

The video is set in a forest; Jackson, in scruffy clothes, sings Childhood while sitting on a tree stump. The camera moves up the trees into the night sky and flying airships travel overhead. On board the ships, children are seen playing a variety of games as they travel further away from Jackson, towards the moon. Other children appear in the forest undergrowth before floating up towards the airships, but Jackson remains seated on the tree stump. In addition to an appearance from Jenna Malone and Erika Christensen, there is a Free Willy 2 tie-in featuring Jason James Richter and Francis Capra reprising their roles as Jesse and Elvis respectively.

The video for Childhood is four and a half minutes long and has little in common with the corresponding film. In the publication, Doug Pratt's DVD: Movies, Television, Music, Art, Adult, and More!, Pratt describes the video as "outstanding, a Chris Van Allsburg-style vision of children in flying airships, crusading through a forest at night."

The accompanying music video for You Are Not Alone was directed by Wayne Isham and was released to ABC, MTV, and BET on July 28, 1995. It begins with a large number of paparazzi taking photographs of Jackson. The plot then centers around two locations: a temple where Jackson appears in an affectionate semi-nude scene with his then-wife, Lisa Marie Presley, and a theater where Jackson performs the song to an empty hall. Jackson also appears alone in other locations such as deserts and along tide pools. 

The slightly extended version that appeared on HIStory On Film, Volume II was notable for scenes where special effects were used to give Jackson white, feathery, almost angelic wings. Several of these scenes included Jackson's side having been pierced by an arrow. The other version of the video is included on Number Ones and Michael Jackson's Vision. The temple scenes were a homage to Maxfield Parrish's 1922 painting Daybreak. The theater scenes were filmed at the Pantages Theatre, in Los Angeles.

The music video for Earth Song, directed by fine art photographer Nick Brandt, was expensive and well-received; it gained the 1995 Doris Day Music Award at the Genesis Awards and a Grammy nomination for Best Music Video, Short Form in 1997. The production had an environmental theme, showing images of animal cruelty, deforestation, pollution, poaching, poverty and war. Jackson and the world's people unite in a spiritual chant—Earth Song—which summons a force that heals the world. Using special effects, time is reversed so that life returns, war ends and the forests regrow. The video closes with a request for donations to Jackson's Heal the World Foundation. The clip was shown infrequently in the United States.

The video was filmed in four geographic regions (Americas, Europe and Africa). The first location was the Amazon rainforest, where a large part was destroyed a week after the video's completion. Natives of the region appeared in the video and were not actors. The second scene was a war zone in Karlovac, Croatia, with famous Serbian actor Slobodan Dimitrijević and the residents of the area. The third location was Tanzania, which incorporated scenes of illegal poaching and hunting into the video. No animals were harmed in the making of the Earth Song, as the footage came from documentary archives. The final location was in Warwick, New York, where a safe forest fire was simulated in a corn field.

The video was also included on the video albums: HIStory On Film, Volume II, Number Ones and Michael Jackson's Vision.

Producing the first music video for They Don't Care About Us proved to be a difficult task for Jackson. State authorities unsuccessfully tried to ban the singer filming in Salvador (Pelourinho) and in Rio de Janeiro. Officials in the state of Rio feared images of poverty might affect tourism and accused Jackson of exploiting the poor. Ronaldo Cezar Coelho, the state secretary for Industry, Commerce and Tourism, demanded editing rights over the finished product, stating, "I don't see why we should have to facilitate films that will contribute nothing to all our efforts to rehabilitate Rio's image." Some were concerned that scenes of poverty and human rights abuses would affect their chances of hosting the Olympics in 2004. Others supported Jackson's wish to highlight the problems of the region, arguing that the government were embarrassed by their own failings.

A judge banned all filming but this ruling was overturned by an injunction. Although officials were angry, the residents were not and Jackson was surrounded by crowds of enthusiastic onlookers during filming. One woman managed to push through security to hug Jackson who continued dancing while hugging her. Another woman appeared and hugged him from behind. He then fell to the ground as police pulled the two women off him and escorted them away. After the director helped Jackson get up off the street, he continued to sing and dance. This incident made it into the music video. 1,500 policemen and 50 residents acting as security guards effectively sealed off the Santa Marta favela. Some residents and officials found it offensive that Jackson's production team had negotiated with drug dealers in order to gain permission to film in one of the city's shantytowns.

The music video was directed by Spike Lee. Asked why he chose Lee to direct the video, Jackson responded, "They Don't Care About Us has an edge, and Spike Lee had approached me. It's a public awareness song and that's what he is all about. It's a protest kind of song... and I think he was perfect for it."

Jackson also collaborated with 200 members of the cultural group Olodum, who swayed to the heavy beat of Salvador's samba-reggae music. The media interest surrounding the music video exposed Olodum to 140 countries around the world, bringing them worldwide fame and increased credibility in Brazil. At the beginning of the video, a Brazilian woman says, "Michael, eles não ligam pra gente" (Portuguese for "Michael, they don't care about us"), recorded by Angélica Vieira, producer of Manhattan Connection.

In 2009, Billboard described the area as "now a model for social development" and claimed that Jackson's influence was partially responsible for this improvement.

As of April 2023, the music video has received over 1 billion views. It became Jackson's second music video (after Billie Jean) to achieve this feat, Making Jackson the first male solo artist from the 20th century to have two music videos achieve one billion views.

For the first time in his career, Jackson made a second music video for a single. This second version was filmed in a prison with cell mates; in the video Jackson is seen handcuffed. It also contains real footage of police attacking African Americans (including the beating of Rodney King), the military crackdown of the protests in the Tiananmen Square, the Ku Klux Klan, war crimes, genocide, execution, martial law, and other human rights abuses. This version is rarely to never played on television and has less than a tenth of the views of the Rio video on YouTube.

The Brazil version music video appears on the box set Visionary: The Video Singles, as well as on the video albums HIStory On Film, Volume II and Michael Jackson's Vision; the latter additionally includes the prison version.

In 2020, Spike Lee put together a third music video that incorporates pieces of both the Brazil and prison versions, as well as footage from various Black Lives Matter protests occurring around the world at that time.

The song's accompanying music video, directed by photographer Nick Brandt, and filmed in Los Angeles, is focused around six unrelated people living in isolation in a cityscape on a dark, cloudy day while the rest of the world moves around them in slow motion. The first half of the video introduces these figures. Five of the figures are: a bald man looking down at the city from his apartment window, a middle-aged woman sitting alone in a coffee shop, a homeless man lying on the damp street, a well-dressed man feeding pigeons, and a teenage boy ostracized from a street game of baseball. The sixth figure is Jackson himself, seen walking the city streets while he sings. Special effects are used to show birds and wasps flying, glass breaking and coffee spilling, all in slow motion.

In the second half of the scenario, heavy rain descends on the city and the citizens try to flee, all again seen in slow motion. From the safety of shelter, the six strangers watch everyone's futile attempts to avoid the sudden change in weather. Eventually, they decide to go outside, where they look up at the sky and allow the rain to soak them. The video ends with Michael whipping his hair. During this scene, a soft Russian voice is heard, a reference to Moscow.

The music video also appears on Jackson's video albums HIStory On Film, Volume II and Michael Jackson's Vision. It was published on YouTube in October 2009. The video has amassed more than 69 million views as of November 2022.

Jackson's biographer J. Randy Taraborrelli has stated that the video is based on Jackson's real life. He used to walk alone at night looking for new friends, even at the peak of his musical popularity. The 1980s saw him become deeply unhappy; Jackson, as a teenager, explained in an interview, "Even at home, I'm lonely. I sit in my room sometimes and cry. It's so hard to make friends... I sometimes walk around the neighborhood at night, just hoping to find someone to talk to. But I just end up coming home."