The band were spotted at the fair at Pinkneys Green on Thursday, May 8.
The theme of the video has been described by their record label manager Lisa Ward as 'surreal.'
The single is taken from their No.1 album Education Education Education & War.
On Friday the band's frontman Ricky Wilson, who appeared as a judge on the BBC talent show The Voice, tweeted a photo from the shoot and wrote: 'Next time let's go somewhere warm'.
The video also features the actress Amanda Abbington, star of Sherlock and Mr Selfridge and wife of the actor Martin Freeman.
Watch the video for Meanwhile Up In Heaven below.
Read more about the video shoot and see more photos here.
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The Met Office has issued a yellow alert for Windsor and Maidenhead, Slough and Wokingham, warning that rain moving eastwards across the south of the country may turn to snow in some places.