The music video was directed by Jean-Baptiste Mondino and features Madonna as a cowgirl walking down an automated treadmill in front of a projection screen , with cowboys dancing and straddling horses in the backdrop . The clip received two nominations at the 2001 MTV Video Music Awards , while also being nominated for a Grammy Award . The song was included in two of Madonna 's concert tours , the Drowned World Tour ( 2001 ) and the Re-Invention World Tour ( 2004 ) . In 2014 , Madonna appeared on Miley Cyrus ' '' MTV Unplugged '' special and performed " Do n't Tell Me " in a mashup with Cyrus ' 2013 song " We Ca n't Stop " . Two years later , she performed the song on her Madonna : Tears of a Clown show , in Melbourne and Miami
2001 MTV Video Music Awards
2001 MTV Video Music Awards
Don't Tell Me (Madonna song)