The themes of "Cry" are world issues such as isolation, war, and brotherhood. It also suggests if everyone pulls together as one, then they make a change to the world, with Jackson singing, "You can change the world/I can't do it by myself".

"Cry" was promoted by a music video, or "short film," as Jackson would refer to it. The video was directed by Nicholas Brandt, who had previously directed "Earth Song" (1995), "Childhood" (1995) and "Stranger in Moscow" (1996).

Jackson did not make an appearance in the video.

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