The Holy River is a Prince (as ) video released for broadcast and to promote the single (although the single was released outside the USA two months before the video premiere).
The video was shot on 20 February 1997 at Paisley Park Studios, Chanhassen, Minnesota. Footage of Mayte (wandering, dancing and dressed as an angel) and Prince in his bathroom are from the unreleased 1994 Empty Room video.
The Holy River features the Paisley Park stage painted like waterfall and with "Adam and Eve"-type scenes. The video shows Prince going through some of the struggles that are mentioned in some parts of the song.
Of note, this is the last video in which Prince has the word 'Slave' on his cheek (lifted from the Empty Room video).