Fury is a Prince video released for broadcast and to promote the single.
The video was directed Sanaa Hamri and filmed at Prince’s rented house on Sierra Alta Way (3121) most likely around the same time as the video for Black Sweat. About this particular shooting, Sanaa Hamri said "We filmed a lot in that house and a lot throughout the year. So filming Black Sweat felt like a typical day for me and my crew. Fury was filmed a bit later, at one of the 3121 parties we threw. Prince had asked me to get cameras so we could shoot a live performance. It was very raw, very off the cuff." Interestingly, this performance video is almost identical to the one Prince and his band gave on Saturday Night Live on 04 February 2006. Two versions of the video were made: one which features only Prince’s performance of the song. In the other, the performance is interspersed with footage taken from the unreleased A Million Days video.
Theatrically, the set is identical to that of the Támar Tour, with Támar Davis (although she is not the lead singer on this track) and The Twinz in the center, and Prince alongside as guitarist. This positioning is reminiscent of the stage shows of Ike and Tina Turner. Prince and the new incarnation of The NPG (with Cora Coleman-Dunham on drums and Joshua Dunham on bass) performs the song with images of flames projected on them in front of a sparse audience. Prince finishes the song by sticking out his tongue.