The song was released only in Europe with two B-side tracks; "Shout" and "Streetwalker". "Cry" received mixed reviews from music critics. The single had a moderate chart performance internationally, with its highest peak being number sixteen in Denmark, and its least successful charting country being Austria. The track was promoted with a music video, which was filmed by Nicholas Brandt. The video does not feature Jackson but shows people holding hands and standing side by side in a variety of settings, including a beach and a forest.
