"There's no such thing as not in the mood because the show must go on, right?" the singer said at the film's premiere Tuesday night at New York's Paris Theater. "I'm a human being like everybody else, so I would have my nights, my bad nights and I would cry and I would say, `I don't want to do this.'"
Madonna told a feverish crowd of fans, her dancers, her tour team, socialites and members of press that she wanted her shows to be a relief for those paying to see her.
"I sold the tickets and I can't let my audience down," she told the crowd of a few hundred.
"Before every show everyone came into my dressing room and we got in a circle and said prayers and 50% of the time I said them and 49% of the time I was crying, usually from over-exhaustion. But there's something about pushing yourself out there when it's pouring rain or you're freezing cold or you don't feel well or something really crazy happened in the world like Hurricane Sandy."
Madonna Talks MDNA Concert Special, New Album Rumors, Charity Work
Madonna's tour, which included design help from her 16-year-old daughter, Lourdes, also featured her 12-year-old son, Rocco, as a dancer.
"He was going to go on my tour whether he liked it or not," said Madonna. "I was thrilled to see him every night. He gave me a boost of energy. However, he does not look like that (now). In one year he has grown, he's 6 feet tall and his voice has deepened. I'm a little bit scared of him."
Madonna also unveiled a secret project Tuesday - a collaboration with photographer Steven Klein. She showed a one-minute trailer that featured her background dancers and showed the singer being dragged on the floor.
She was answering questions before she premiered the black-and-white video and told the crowd she was leaving the stage so they could see it.
"No," they screamed.
"Well I can't sit in front of the trailer. I'll just do a stage dive. No. I saw the Billboard Awards - no stage dive," she said jokingly, referring to R&B singer Miguel's jump that injured a woman at the awards show last month.
Madonna's new concert film will be released on DVD on Aug. 27.