The video was filmed at Central Technical School in Toronto, Ontario and directed by Sean Michael Turrell.

The video alternates between the band playing in the basement of the protagonist's high school and the teen in classes and halls.

Throughout the video the teen is writing in a notebook in which the viewer sees fragments of the song's lyrics and drawings.

It was announced at a concert in Warsaw that "Nothing to Lose" is the inspiration for the Polish movie entitled Sala samobójców (Suicide Room).

The song also appears on the movie, when the principal character, Dominik Santorski (Jakub Gierszal) goes to the school with a weapon.