The promotional clip for "Mad World", filmed in late summer 1982, was Tears for Fears' first music video. It features a gloomy looking Curt Smith staring out a window, while Roland Orzabal performs a bizarre dance outside on a lakeside jetty. This dance was later parodied in The Cure's "Let's Go To Bed" video. The clip was directed by Clive Richardson who was notable for his work at that time with Depeche Mode.

Mad World" would achieve a second round of success beginning almost twenty years later, after it was covered by Michael Andrews and Gary Jules for the film Donnie Darko (2001). While the Tears for Fears version featured various synthesizers and percussion, the Andrews/Jules version was stripped down; instead of a full musical backing, it used only a set of piano chords, a cello, and modest use of a vocoder on the chorus.