In the beginning, and since this was the first time Madonna visited Latin America, HBO had the intention of recording some of the concerts performed in Mexico City. But Madonna choose the title « Live Down Under », a nickname given to Australia, since it was the first ever Madonna live concert in that country.

Initially, the November 20, 1993 show, the second of two dates at the Sydney Cricket Ground in Sydney, was to be filmed and aired on HBO in the United States. However, a massive storm forced the cancellation of the show, so the November 19 show (which had been filmed as a « safety show ») was aired instead in USA (HBO) and Germany (Premiere). A month later an edited version of this original broadcast was shown on UK TV (Sky).

A re-edited version of this concert was released worldwide on VHS and Laserdisc on April 26, 1994 as « The Girlie Show - Live Down Under ». Another recording was made during the Japanese leg of the tour and shown only on Japanese television; « Live in Japan 1993 – The Girlie Show ». This version has never had a commercial release.

The October 7, 1993 show at the Inonu Stadium in Istanbul was aired on ATV in Turkey.

BBC Radio 1 broadcast the entire second show at Wembley Stadium in London on December 26th 1993.

Brazilian radio broadcast the show at Estadio Do Maracana, Rio De Janeiro, Brazil, on November 6th 1993 with live commentary.

The video for the tour, « The Girlie Show – Live Down Under », was nominated for the Grammy Award of « Best Long Form Music Video » in 1995.