The song "Mountains" and its CD b-side "Alexa de Paris" both appear in Prince's film Under the Cherry Moon, with the video for "Mountains" playing as the credits roll. The version shown on MTV to promote the single was in color as opposed to the film's black-and-white version.
The song is one of two songs (including "Girls & Boys") from the Parade album to be directed by Prince himself, as opposed to an outside director.
Kristin Scott Thomas appears in the video, having appeared in the film Under the Cherry Moon, which the video is culled from.