Because of the large file size of most videos (and audio files), it’s recommended that you don’t upload videos to your WordPress media library.
Doing so can slow down your site’s performance and rack up unnecessary hosting costs.
Because of this, it’s recommended that you find an alternative, third-party service to host your video and then “embed” the video on your site (this can be done by simply copy and paste the URL into your content if it’s from YouTube or Vimeo).
As noted above, YouTube and Vimeo are two (free) services you can use.
If you’re looking for an alternate solution, here’s a video tutorial on how to use CloudApp to host your videos: