American singer and songwriter Madonna has been linked to New York City even before she was famous. Besides her appearances in the New York-based films "Desperately Seeking Susan" and "Who's That Girl", Madonna has also shot music videos in New York, including "Papa Don't Preach" which featured locations in Staten Island.In 1993, Madonna shot the music video to the third single "Bad Girl" from the 1992 "Erotica" album in New York City.

The song "Bad Girl" was written and produced by Madonna and Shep Pettibone, and in February 1993 by Maverick Records. Lyrically, the song described a woman that was unhappy with her life because she believed she was behaving badly, due to the sadness that had overwhelmed her since the end of a romantic relationship. The music video was directed by David Fincher, who had worked with Madonna on her videos for "Express Yourself", "Oh Father" and "Vogue". It was filmed on location in New York City in January 1993. Besides Walken, the video also featured appearances by actors Mark Margolis, Tomas Arana, Rob Campbell, James Rebhorn, and an uncredited cameo appearance from Matt Dillon, who played a crime scene detective.

The video clip was the first time that Madonna was shown wearing penciled-on eyebrows, after shaving them prior to the filming of the video for her previous single "Deeper and Deeper". Madonna said her idea for the video was influenced by the 1977 American film "Looking for Mr. Goodbar" a film in which the main female character lived a rather self-destructive life and was stabbed to death by a one-night stand. It also took inspiration from the 1987 Franco-German romantic fantasy film "Wings of Desire" a film which included invisible, immortal angels populate Berlin and listened to the thoughts of the human inhabitants and comfort those who were in distress.

The music video for "Bad Girl" featured Madonna playing the character Louise Oriole, a high-powered and successful but ultimately lonely and depressed Manhattan female executive who was a chain smoking alcoholic with a penchant for one-night stands with many different men. She behaved this way in order to try and deal with her depression and sadness over a relationship with someone she loved deeply, but ultimately had no future. Through her days, Louise got distracted by cigarettes, cocktails, and random hook-ups, as lamented in the song's lyrics.

Christopher Walken played her guardian angel, who watched over her self-destructive activities. In one scene Louise woke up alone in her bed after a one-night stand and discovered a hand-written note lying on the pillow beside her. She was clearly upset after reading the note and she crumples it and throwing it to the ground. Another scene showed her passed out on an easy chair after drinking an entire bottle of wine in one sitting. The next scene showed her guardian angel reading the note which simply read 'thank you whoever you are'. In a later scene, her guardian angel delivered Louise with a 'kiss of death' before her final encounter with a man, during which it was suggested she was strangled with her stocking. After her death, she reappeared as a spirit alongside with her guardian angel overseeing the police taking her body away to the morgue.

New York locations included 66 Morton Street, the diner at the corner of 10th Avenue and West 20th Street.