The show was divided into four sections: Dominatrix, Studio 54, Weimar Cabaret, and Encore. It began with calliope fanfare as a pierrot – who makes several cameos later – appears from the red curtain near a tall go-go pole on which a topless dancer Carrie Ann Inaba performed. Madonna then makes her entrance striking poses and swinging her whip in dominatrix gear from a spotlit platform to sing "Erotica". Next came "Fever" where she takes her jacket, mask and glove off and dances suggestively with two shirtless male dancers before disappearing among flames. "Vogue" is performed in a beaded headdress with a Hindu flavor; she serenaded the audience with a Motown-influenced "Rain", complete with a "Singin' in the Rain" dance interlude which features the pierrot. Afterwards, she descends from the ceiling on a giant glitter ball, wearing a blond afro wig (inspired by the 1932 film Blonde Venus which stars Marlene Dietrich) to perform a disco-styled "Express Yourself" and "Deeper and Deeper". Following a simulated orgy, she sings "Why's It So Hard" and "In This Life"; the pierrot watches Madonna during the latter song.

Another interlude, "The Beast Within", features an apocalyptic dance with sexual overtones. This leads to "Like a Virgin", where Madonna performed in a classic tuxedo with a Marlene Dietrich vocal accent; while doing a comedic act with the pierrot. She then acts as a sideshow barker, singing "Bye Bye Baby" during a chair routine with her dancing girls; this was done in the same manner as her performance at the 1993 MTV Video Music Awards. After the Hispanic "I'm Going Bananas", she staged a rendition of "La Isla Bonita" before donning military trench coats for a marching, funked-up version of "Holiday"; the circus theme is heard before and after this song. For encores, she appeared in Victorian-themed costumes for "Justify My Love", and finally brought the house down with a minimal "Everybody". As the red curtain fell and carnival music played, the pierrot emerged yet again, only to reveal its identity as Madonna herself: she closed the show by singing the phrase "Everybody is a Star" as the curtain falls.