The clip, which was unveiled on Wainwright's official YouTube page, sees the singer and actress Helena Bonham Carter stripping off in a library.
Discussing the promo, he told The Sun: "It features the two of us being naughty in the library. We have been friends for years. Not only is she very beautiful, very glamorous, but she is also incredibly funny.
"At the end of the video, she is basically wearing a bra. So I very much appreciate her friendship for furthering my career."
The Mark Ronson-produced track trails the star's new LP of the same name, which Wainwright describes as "the most pop album" he has ever made.
Album Out of the Game is released on April 23, preceded by the single on April 16.
Wainwright recently revealed that he is making formal wedding plans with his partner Jorn Weisbrodt after becoming a father last year.
Watch the 'Out of the Game' music video below: