The song's music video, directed by Piper Ferguson, depicts the band performing "Burn" in a circus setting accompanied by acrobats, contortionists, and other performers.[2] As the song progresses fire is introduced into the performers' acts, and they dance and perform amidst the flames.[2] Bassist Dan Andriano is depicted playing a double bass, though the song is actually performed using a standard bass guitar, and drummer Derek Grant is depicted playing a makeshift drum kit composed of pots, pans, and other objects.[2]
