Come With Me opens in a dream sequence with Puff Daddy and a woman about to make out when he awakens by a tremor. He watches a newscast, goes to the window and sees Godzilla just before a bus comes flying through the window. This is when the song starts as he sings from the now-gaping hole.
A jet explodes in front of Puff Daddy, which sends him flying into an elevator. The elevator goes through the roof of the building and as it about to start to descend Puff Daddy turns into doves. Then the video show him falling from sky and lands on staged platform in Times Square with an orchestra. The video ends with Puff Daddy and Godzilla looking each other face-to-face.
Also, there are scenes from the movie Godzilla (1998) and Jimmy Page playing his guitar on the Times Square's video screens.