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The Virgin Tour was the only tour that placed Holiday in the beginning of the show. It was the second song in the setlist. Still wearing the colourful jacket, Madonna did a light-hearted choreography with her two dancers to a version similar to the one on the album. She even took a break during the performance to talk to the audience.

On the other tours it was always among the closing numbers. Same thing for the Who's That Girl Tour where Madonna ends the song twice, then continues for more. Finally, she asks the audience for a comb to fix her messy hair, so she can finish the song. This version was much more rock sounding featuring a lot of guitar. As it was performed after then-current megahit Who's That Girl, Madonna cemented the tradition of ending her shows with a combination of songs from both ends of her career.

On the Blond Ambition Tour, Holiday turned into a pyjama party, with Madonna in white pants and polkadot blouse and all the dancers in pyjamas dancing around on stage. The crowd went wild, partying along, and Madonna asked to "do the bus stop". The performance was so energetic that it was used on music channels for the re-release of Holiday.

Holiday received a very alternative remake for the Girlie Show. Dressed in long army coats and with a large American flag in the background, Madonna and her dancers performed a military version of the song. The strict percussion soon has to give in to the dance tones. It gets total fun when they turn it into a jam. At the end of the song - which is also the end of the show, before the encores - they all start goofing around, jamming in a rain of confetti strings. As Madonna refuses to leave the stage, Niki & Donna end up chasing her and carrying her off stage.

The Drowned World Tour hardly featured any of Madonna's 80s classics, but what would a Madonna tour be without Holiday! Wearing a black shirt with 'mother' in front and 'f*ckers' on the back, and a white fur coat on top, Madonna chose this 18-year old dance song to end her show. She, Niki and Donna rocked on stage and the crowd went hysteric. This ghetto-pimp version used samples of Stardust's 'Music Sounds Better With You' (inspired by an unofficial mash-up of the songs).