Reznor in front a projection screen, showing a clip featuring Juliette Lewis from Natural Born Killers
The music video was co-directed by Hank Corwin and Trent Reznor. The video features Reznor performing in front of a projection screen displaying a montage of stock footage and footage from the Natural Born Killers film, as in the picture provided. The stock footage and rear-projection techniques used in the video are similar to the ones employed in much of the film.
Csaba Toth contributed a detailed reading of the video in his article "Like Cancer in the System: Industrial Gothic, Nine Inch Nails, and Videotape":
In the elliptic time frame of music video narratives, NIN's 'Burn' forms a commentary on the social state of things, positing images of the ruins of modernity's dream of progress. As the montage progress, it establishes complicated visual links between world-historical events and specifically American developments. We see a fascist march (in Italy), portrait of Hitler (twice), concentration camp victims, tanks rolling over trenches. Closer to home, a suburban mansion ('Absolutely No Trespassing' says the sign in front the eerily lifeless, almost Gothic, edifice), 1950s street scenes and family photographs, a beer sale sign, the American flag, and a church. [...] These 'historical' images are juxtaposed in an increasingly frantic pace with scenes of family life and especially family violence in America -- a young boy violated by his father and a young girl sexually abused by hers. Toward the end, vampires loom over the contemporary wasteland.