Despite being aimed at preschool-aged children and their parents, the Sega Pico was marketed in the US in a similar edgy fashion to Sega's products for older audiences, particularly with a commercial titled "Sponge", which opens with loud rock music and features intense camera cuts, mild slapstick, and most unexpectedly, a joke where the Sega Pico is shown as a heavenly device protecting a child from a drag pageant reality show titled "Middle-Aged Men Who Want to Be Teenage Girls".

Additionally, while much tamer and inoffensive, the animated commercials featuring the Pico's mascot, Smart Alex, featured the loud and in-your-face "Sega Scream".