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You can display a video that is managed in the Office 365 Video portal on a SharePoint Online site or a SharePoint site with hybrid single sign-on set up by inserting the embed code for the video on your site. This article describes the embed procedure, which you can perform only if you are the site admin for the site.
Important Users must be signed into Office 365 to view a video that is embedded on a site from the Office 365 Video portal.
Getting the embed code for a video that is managed in Office 365 Video
To embed a video from Office 365 Video on your site, you first need to get the embed code for the video you want to display.
To get the embed code for a video that is managed in Office 365 Video-
Sign into Office 365 as a user who has admin permission for the SharePoint Online site where you want to embed the Office 365 video.
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Select the Office 365 app launcher icon , and then select the Video tile. This takes you to Office 365 Video.
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Navigate to the full playback page for the video managed in the Office 365 Video portal that you want to display on your site.
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On the Office 365 Video top navigation bar, choose Embed. A box will appear with the embed code for the video.
Copy the full embed code. Be sure to include the beginning < and the ending >.
Embedding a video from Office 365 Video on a SharePoint Online site
Once you have the embed code, you need to add it to your site.
To embed a video from Office 365 Video on a SharePoint Online site-
Navigate to the page on your site where you want to display the video.
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On the Office 365 top navigation bar, choose Edit. Alternately, you can click the Page tab and then choose Edit.
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Click the area of the page where you want to embed the video.
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In the ribbon, click the Insert tab and then choose Embed Code.
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Paste the embed code you copied into the Embed box and then click Insert.
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On the Office 365 top navigation bar, choose Save to save your changes and view the embedded Office 365 video on your SharePoint Online site.
Your embedded video should look something like this:
Source: https://support.office.com/en-us/article/Embed-a-video-on-your-site-from-Office-365-Video-59e19984-c34e-4be8-889b-f6fa93910581?ui=en-US&rs=en-US&ad=US