[1] Written and produced by Madonna herself, the film was shot in January 2020 when she held her concerts in Lisbon, Portugal at the Coliseu dos Recreios.

[3] The film's official premiere was held on September 23, 2021, at the Paradise Club on top of the Times Square Edition hotel in New York City.

The introduction features a montage of newspaper articles and shots from Madonna's music videos, showing her fight against misogyny, sexism, ageism, bigotry, racism, and promoting feminism and artistic liberation.

Towards the end, she plays a bongo solo and was surrounded by 11 black women − including her daughters Stella, Estere, and Mercy James − and chanting the phrase "I'm not your bitch!"

"Vogue" and "I Don't Search I Find" are performed with lookalike dancers dressed in blonde wigs, trench coats, shades, and high heels.

"Batuka" has 14 women of the Batukadeiras Orchestra playing the drums while Madonna sits to the side on a stairwell before eventually joining them and doing batuque moves.

A cha-cha-chá mashup of "La Isla Bonita" and a new song called "Welcome to My Fado Club" is performed next, with elements of Cesária Évora's "Sodade".

She was inspired to write the album after frequently getting invited to "living room sessions" with local musicians playing fado, morna, and samba music.

[9] On January 12, 2020, Lisbon-based production service company Krypton International posted, via their official Instagram account, a picture of an "All Stage Access Pass" for the Lisbon tour evening happening that day, followed by the information that they were shooting and recording that concert.

[14] Mick LaSalle from San Francisco Chronicle praised the film for Madonna's ability to reimagine herself and come up with new ideas, and described it as "somewhere between a success and a triumph".

[15] Nick Levine from NME gave the concert film four out of five stars, stating: "Feels like an opportunity to end the experience on a positive and empowered note".

[16] Alexis Petridis of The Guardian gave the concert film three out of five stars describing it as a "fascinating behind-the-scenes documentary" and "beautifully shot".

[19] Johnny Loftus from Decider opined that "the creative scope of Madame X is its most impressive thing" that "mixes high-concept [and] artfully constructed performance".