The colorful clip, released Wednesday, begins with Perry as a Marie Antoinette type character who is unhappy with her 18th century surroundings and daydreams of becoming Joan of Arc.
The pop star is then seen denying a royal's romantic advances which leads to her being beheaded. Perry as Joan of Arc then appears to get revenge.
"You think that I am cracking, but you can't break me," Perry sings on the track.
Perry shared a clip of the video on Instagram where the 33-year-old commented on her 2017 and on "Hey Hey Hey."
"After a year of peaks and valleys (remember, it's all a journey), I wanted to end 2017 with a fun, triumphant piece of pop candy. Just think of it as a glam little stocking stuffer from me to you. "Hey Hey Hey" is one of my favorite songs from Witness and for me, it embodies the fighting spirit I always want you to be able to find within yourself, and to see in me. So ho, ho, ho; and hey, hey, hey; and happy holidays," Perry said.