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Resembling The Cure's vocalist Robert Smith, Penn's Cheyenne is seen driving alone in his pick-up while on his way to find an ex-Nazi who murders his father.
The video, which does not reveal much about the story, features Penn's band singing in a music video while a girl enjoys listening to the song.
Expect a heavy competition between Lynne Ramsay's school-shooting drama and Paolo Sorentino's Sean Penn-starring movie.
The 50-year-old sports long hair and red lipstick when filming the movie in Dublin, Ireland as he portrays rocker Cheyenne.