The music video for Warnes' version of "First We Take Manhattan" was directed by Paula Walker. Filmed in New York City, the video features Stevie Ray Vaughan playing his weathered "Number One" guitar (with its distinctive "SRV" logo) on the Brooklyn Bridge. Cohen also appears with Warnes in the video. The 20th anniversary edition of the music video contains a German intro about the West Berlin discotheque bombing.