Yellow was filmed at Studland Bay in the county of Dorset, South West England. The video is minimalistic, featuring only Martin singing the song as he walks along the beach. He is wearing a raincoat with his hair wet. The video is one continuous shot with no cuts and is in slow motion.
Originally, it had been intended for the whole band to appear in the video, in a sunny setting. However, Champion's mother's funeral was held on the day of the shooting, so it was decided that only Martin would appear in the video, which was also the immediate explanation of his mood during this part.