That Don't Impress Me Much was shot in the Mojave Desert at El Mirage Dry Lake and Barstow, California. It was shot on November 3 and 4, 1998. It depicts Twain hitchhiking in the middle of the desert, in a hooded leopard skin outfit, and being approached by several men offering her a ride out of the desert. These include a man in a sports car, on a motorcycle, in an army jeep, a tanker truck, and on a black horse.
Two versions of the video were made, one with the 'Original Album Version', released to country channels, and the 'Dance Mix Edit' released to pop and international stations.