Depp plays guitar in his video and recorded the solo in the track live. Portman, who previously starred in McCartney's "Dance Tonight" video in 2007, mimes along to the song in her video.
The screening, which was held at the Stella McCartney store, was attended by the likes of Foo Fighters' Dave Grohl and Coldplay's Chris Martin, along with Hollywood stars such as Woody Harrelson, Orlando Bloom, Zooey Deschanel and Amy Smart.
"My Valentine" is one of two original compositions on The Beatles man's latest album of classic standards, "Kisses On The Bottom".
McCartney has said he's ignoring criticism of the cheeky title of the record, stating it reminds him of how people used to mock the name of The Beatles.
"I like mischief. It's good for the soul, it's always a good idea - if only because people think it's a bad idea," he told BBC Radio 2 earlier this year.