The 63-year-old Queen of Pop's three-hour shoot was for the 2021 MTV Video Music Awards, which air September 12 - according to TMZ.
Madonna wore several necklaces and rings, fishnet gloves, fishnet stockings, and clutched a pair of cat-eye sunglasses selected by stylist Arianne Phillips.
The self-made superstar - who's won 20 Moon Man trophies - also rocked a shoulder-length lace-front platinum-blonde wig coiffed by hairstylist Andy Lecompte.
Madonna was filmed exiting an eighties retro taxi cab, throwing cash at the driver, and strutting around the streets as it rained on and off.
Madonna - who boasts 44.2M social media followers - flaunted her cleavage in the cut-out bra she wore beneath the trench coat via Instastory.