The music video has a loose theme of suicide, with Trent Reznor jumping to his death and his decaying body discovered by his bandmates. It was directed by Eric Zimmerman and Benjamin Stokes, who got some aerial shots by attaching a Super 8 camera to weather balloons (this was long before drones), including a shot Reznor's lifeless body, covered in corn starch to make it look like he has been dead for a while. Strings were attached to the balloons to keep the camera from flying away, but they broke, and the rig flew away.
The video was shot in Chicago, but over a year later, the camera, still attached to the weather balloons, was found by a farmer in East Lansing, Michigan, over 200 miles away. The farmer turned it over to police, who looked at the footage and thought it was some kind of satanic ritual murder. The FBI got involved and eventually cracked the case when someone identified the body as Trent Reznor, as seen in the "Down In It" video. The story was reported by Spin
and Hard Copy
; Reznor was bemused.