The singer is seen posing with dancers against a white background in the clip, which debuted on her official YouTube page.
The track - produced by Hercules and Love Affair - was released in support of Record Store Day in a one-off limited edition vinyl. The song is now available as a free download online.
The star, whose real name is Victoria Hesketh, is due to perform at London's XOYO on Friday (May 4). She will also support the Scissor Sisters' London shows from May 16 to May 17 at Shepherd's Bush Empire.
Hesketh recently put out her latest mixtape 'Into The Future', which includes reworkings of Azari & III's 'Reckless With Your Love' and Kylie Minogue's 'Slow'.
Watch the 'Every Night I Say A Prayer' music video below: