Why, when they go to the movies, do they see 'Camille'?

Because unlike today, where you go to a multiplex and can choose from 16 movies, there was one movie "now showing" at the theater...and that was what you saw - even if you were Daddy Warbucks.

Because Camille was edited by Margaret Booth, who was also supervising editor on Annie. Furthermore, Booth was really good friends with the producer, Ray Stark, and Camille is perhaps her most famous film.

That said, the time frame off. Annie takes place in 1933, but Camille wasn't released until 1936. They should've chosen another Booth-edited film from 1933 -- like Bombshell (starring Jean Harlow), which was a funny, screwball comedy with a happy ending.

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I was wondering that too. I couldn't see a parallel between Annie and Camille (though I haven't seen the whole film).

Maybe it serves the characters more to watch a weepie and see their reactions, Grace is crying, Annie is being very empathetic (and the film is very adult, but shes precocious enough to respond to it), Warbucks very stoic.

Maybe it's just to tonally take the film to a sad place because it's so up in the air optimistic a lot of the time, it just needed a down beat to bring the audience back down a bit?

The scene always reminds me of the line from the Mad Magazine parody of this: "Never put a good movie in the middle of your bad movie! The audience will notice!"

wondered the same thing. it was an odd choice

Some accountant probably asked, "which movie do we not have to pay any royalty to anyone? or which is the cheapest?"