The video was produced at Culver City Studios in California and Jacko was on set "most days" during filming.
Two people who worked on the project confirmed its existence to a US news agency, but were unable to divulge further as both had signed confidentiality contracts.
Four sets were constructed, including a cemetery depicting Jacko's legendary Thriller video.
The project, which is now in post production, was shot between June 1-9 and is expected to be completed on July 15.
The purpose of the video is unclear, however, it has been reported music-video company Stimulated Inc are behind it.
According to their website, the firm was hired to produce screen content for Jacko's This Is It tour at London's O2 Arena.
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