MP4
MP4 files are supported - but they require uploading to the asset folder. Navigate the following steps from your Shopify dashboard.
Step 1: Go to Shopify Admin Settings
If the video is a local file - or requires uploading to your theme - you can upload the video to the assets folder using the Shopify Settings, accessible from your Shopify dashboard.
Step 2: Go to Files
From the Settings page, select Files.
Step 3: Upload the File
Click the Upload files button.
This will prompt options to upload a file from your system. Once uploaded, your file will display in a list, alongside the size of the file, and a Link button to obtain a direct URL.
An address (URL) will be generated for the location of your file. This can be used as your Video URL and placed directly into your Video section settings, under Video URL.

Once the upload is finished, it will appear in the file list with a unique URL, available to copy and insert within your theme.
Copy this link to your clipboard, and proceed to paste in the Video section settings to display on your store.
YouTube
Videos uploaded to YouTube are supported, and only require the YouTube URL. Once the video is uploaded to YouTube, you will be given a link to your video.
Copy this link and paste into your video section settings, under Video URL.
Certain sizes of video may appear with black bars on-screen to ensure the player's screen is correctly loaded.
Vimeo
After successful upload to Vimeo, a link for the video will be provided that you will need for integration on the storefront.
Copy this link, and paste into the Video section settings, in the Video URL field.