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Deeper And Deeper was shot at Ren-Mar Studios and The Roxbury nightclub in Hollywood, California. It is an ode to Andy Warhol, shot in near identical style to many of his films. Madonna's good friend and actress Debi Mazar makes a cameo in the video, as well as Academy-Award winning film director and screenwriter Sofia Coppola, and the actor Udo Kier, who had appeared in the Andy Warhol films Flesh for Frankenstein and Blood for Dracula. There are also brief cameos of Holly Woodlawn and Chi Chi LaRue.