"You know what? When you see the video it's really amazing. Obviously we filmed it before this [Ben Moody's departure] happened and it's amazing irony, how much it makes sense. We're all separated and wandering the streets looking like it's the day after a funeral, with Ben in a suit and bare feet, and I'm never touching the ground. I'm sitting on a phone booth or lying on a car, to hint that I'm dead, that I'm singing from the dead. It's all about separation. It's almost like the director knew what was going to happen, but he can't have known. It's just one of those fate things."
The music video for "My Immortal" begins with Lee next to a fountain. Her legs and arms are covered with bandage, and she puts them in the water. She's wearing a long white dress. While she walks around the fountain, behind her are shown children jumping on a skipping rope and playing soccer. Shots of Moody follow, who appears to be sullen and withdrawn. He is wearing a suit and his feet are bare. His shoulders sag and his head slumps forward as he delicately plays piano, and later he picks up his jacket as if he's about to leave. When the bridge starts, the band is shot performing in one room while Moody is in another, with only his piano. Throughout the video, Lee is never filmed on ground level. She walks along the ledge of a fountain, sits in a tree and sings lying on top of a building. She also lies atop scaffolding and on the hood of a car surrounded with leaves. The video for the song was nominated in the category for Best Rock Video at the 2004 MTV Video Music Awards. According to Jon Wiederhorn from MTV News, the shots of the video are "evocative and artistic, resembling a cross between a foreign film and a Chanel advertisement." Joe D'Angelo of MTV News said that Lee's disconnection in the video shows a "distressed and emotionally wrought heroine." Rob Sheffield of Rolling Stone praised the video saying that Lee looked like a "teen-misery titan" and that she "tiptoed through a marble castle of pain". He also concluded that she could have borrowed the dress from Stevie Nicks. During an interview with Spin in 2011 Lee said that it was weird for her to watch the old videos of the band including the one for "My Immortal". She explaind, "Just watching our oldest videos, it's weird. I definitely remember watching 'My Immortal,' like, 'That was not some dream where it was really somebody else.' I've totally had a couple of those moments. It's cool."