Three members of the punk band, wearing their trademark balaclavas, say in English, "We have been fighting for the right to sing, to think, to criticize, to be musicians, to be artists ready to do everything to change our country," before two rappelled down the side of an abandoned building.
A giant white "Pussy Riot" banner hangs from the building's facade along with cardboard portraits of Putin and Belarus President Alexander Lukashenko.
The activists say "These two men think it's illegal to stand up for the rights of the gay and lesbian communities. These men say you can't criticize your government. These men say if you sing and dance in an inappropriate way you can get two-years in prison," before lighting flares and burning the portraits.
They go on to thank their supporters like Madonna, The Red Hot Chili Peppers, Bjork and Green Day as well as "everyone around the world" who stood behind them.
Last month, three members of the band were each sentenced to two years in prison after their "punk prayer" performance in Moscow's main cathedral, in a protest against Putin. Two other band members fled the country after the sentences.
The video, that was posted on the MTV
website before the Video Music Awards has also been posted on YouTube.