The mysterious painting behind Jay Z in a few shots, where he appears to be in an empty swimming pool, is actually a piece by Merry-Joseph Blondel from 1819 called The Sun or the Fall of Icarus. The piece was commissioned for the entrance of the Louvre's ceiling to the Galerie d'Apollon.
The Greek mythological story of The Fall of Icarus fits "Holy Grail," a song about how easy it is to lose yourself in fame and wealth. As the story goes, Icarus' father Daedalus warned him not to fly too close to the sun, as his wings were secured with wax. Not only did Icarus disobey his father (his wings melted off by being too close to the sun), but he also fell into the ocean and drowned.
In the earliest known painted version of The Fall of Icarus, thought to be by Peter Bruegel in the 1560s, Daedalus is not present, yet in Blondel's version, he is. What's even more striking about Jay Z's inclusion of this painting in his video, beyond the way this classic story connects to the struggle he depicts in his contemporary life, is that he includes a quick close-up of Icarus falling without the other characters around him. The fall is as lonely as Jay is throughout most of the visual.