SEE NEW VIDEO "EARLY DAYS" - Premiere

Watch the NEW video 'Early Days':

Paul shares the story behind the black-and-white clip for his "memory song" about growing up with John....

"Early Days" is one of the highlights of Paul's most recent album, 2013's New, but its music video — which you can watch exclusively here — might never have happened if it was left up to McCartney. "When I've got a song, I don't think about the video," the singer says. "I'm sure some people do, but I don’t. I just think about the song, first writing it, then recording it."

Earlier this year, though, director Vincent Haycock sent over a video treatment for "Early Days" that caught his eye. "It's a memory song for me, about me and John in the early days," McCartney says. "But Vince came up with this great idea: Instead of having young lookalikes of me and John walking the streets of Liverpool, guitars slung over our backs, and literally acting out the song, what if it was any two aspiring musicians? I thought that was such a cool idea."

Haycock spent a month scouting locations in Natchez, Mississipi, and Faraday, Louisiana, and casting local actors for the video's main storyline, set in the American South in the 1950s. He also traveled to Los Angeles to film a jam session between McCartney and some special guests. "I happened to ring Johnny Depp," McCartney says. "I said, 'Come along and we'll sit around and jam with these blues guys.' He said, 'Yeah, OK, count me in, man.' I knew it was an offer he couldn't refuse."

Paul at Early Days music video shoot in Los Angeles, California.

"Early Days" marks the third Paul video Depp has appeared in, after 2012's "My Valentine" and 2013's "Queenie Eye." "It's getting to be a running gag," McCartney says. "He's like the Alfred Hitchcock of my videos. And he's good! He used to be a musician before he was an actor, you know. One of his old bandmates actually organized getting me that cigar-box guitar that I played with Dave Grohl on 'Cut Me Some Slack,' that we ended up getting a Grammy for. So I knew he could play."

Music and acting, Paul notes, often go hand in hand. "They're similar gigs, really. Ringo used to know Peter Sellers very well, and Peter wanted to be a drummer – that was his secret closet ambition. You run into a lot of guys who play who are actors. There a bunch you can think of. Bruce Willis does it. Then there are people who do both, like Jared Leto."

As for himself, the former Beatle disavows any interest in taking up acting. "No, I don't think it's my thing," he says. "I get self-conscious in front of a movie camera. Off-camera, I can impersonate, I can do this and that, and I'll think, 'I could be such a great actor.' Then they say 'Action!' and turn the camera on, and I go uh-uh-uh-uh-uh…I just don't think I'm a natural.

"But you know what?" he adds with a laugh. "I've got enough to do."