Lead singer David Byrne walks on to a bare stage with a portable cassette tape player and an acoustic guitar. He introduces "Psycho Killer" by saying he wants to play a tape, but in reality a Roland TR-808 drum machine starts playing from the mixing board.[6] The gunshot-like beats cause Byrne to stagger "like Jean-Paul Belmondo in the final minutes of 'Breathless,' a hero succumbing, surprised, to violence that he'd thought he was prepared for."[7]

With each successive song, Byrne is joined by more members of the band: first by Tina Weymouth for "Heaven" (with Lynn Mabry providing harmony vocals from backstage), second by Chris Frantz for "Thank You for Sending Me an Angel", and third by Jerry Harrison for "Found a Job". Performance equipment is wheeled out and added to the set to accommodate the additional musicians: back-up singers Lynn Mabry and Ednah Holt, keyboardist Bernie Worrell, percussionist Steve Scales, and guitarist Alex Weir. The first song to feature the entire lineup is "Burning Down the House", although the original 1985 RCA/Columbia Home Video release (which featured three additional songs in two performances edited into the film) has the entire band (minus Worrell) performing "Cities" before this song. Byrne leaves the stage at one point to allow the Weymouth–Frantz-led side-band Tom Tom Club to perform their song "Genius of Love". The band also performs two songs from Byrne's soundtrack album The Catherine Wheel, "What a Day That Was" and (as a bonus song on the home video release) "Big Business".

The film includes Byrne's "big suit", an absurdly large business suit that he wears for the song "Girlfriend Is Better". The suit was partly inspired by Noh theatre styles, and became an icon not only of the film – as it appears on the movie poster, for instance – but of Byrne himself. Byrne said: "I was in Japan in between tours and I was checking out traditional Japanese theater – Kabuki, Noh, Bunraku – and I was wondering what to wear on our upcoming tour. A fashion designer friend (Jurgen Lehl) said in his typically droll manner, 'Well David, everything is bigger on stage.' He was referring to gestures and all that, but I applied the idea to a businessman's suit."[8] Pauline Kaelstated in her review: "When he comes on wearing a boxlike 'big suit' – his body lost inside this form that sticks out around him like the costumes in Noh plays, or like Beuys' large suit of felt that hangs off a wall – it's a perfect psychological fit."[9]On the DVD he gives his reasoning behind the suit: "I wanted my head to appear smaller and the easiest way to do that was to make my body bigger, because music is very physical and often the body understands it before the head."