You can directly upload videos to your WordPress site, but we always recommend against that.
Images, audio, and video make the web rich. Adding videos to your website certainly adds value to your content and increases the likelihood that your audiences would react to it. However, you would notice that most people using WordPress prefer to use a third-party video sharing service such as YouTube or Vimeo to upload their videos. Simply upload your video to one of these services and then copy your video URL.
Come back to your WordPress site and simply paste the video URL in the post editor. WordPress will automatically fetch the embed code and display your video.