Vogue was shot at The Burbank Studios in Burbank, California, and was filmed in black and white. The video recalled the look of 1930s Hollywood films with the use of artwork by the Art Deco artist Tamara de Lempicka and an Art Deco set design. Some of the close-up poses recreated noted portraits of such stars as Marilyn Monroe, Veronica Lake and Marlene Dietrich. The video features the dancers and back-up vocalists for Madonna's then-upcoming Blond Ambition Tour. The choreography was set by "Punk Ballerina" Karole Armitage.
There was some controversy surrounding the video due to a scene in which Madonna's breasts (though not her nipples) could be seen through her sheer blouse. MTV wanted to remove this scene, but Madonna refused, and the video aired with the shot intact. In 1993, Rolling Stone magazine listed the video as the twenty-eighth best music video of all-time.