The Media Library houses the media you upload to your site. WordPress supports a variety of media types such as images, audio, video, and documents. You can see the entire list of file types that WordPress supports here. We do suggest that you host your video files elsewhere for optimal playability. Video hosts include sites like MS Streams, YouTube and Vimeo.
(This content above is taken from University of Mary Washington)
Uploading Media
In order for any media to display on your site, it needs to be uploaded. The first step is to ensure that your media is downloaded to the computer or device you are are using to update your site with. If your media is stored on an external hard drive make sure it is plugged in!
Next, in your dashboard, click the Media menu option and then click the Add new link underneath, or hover your cursor over the Media menu option and click the Add new link in the fly-out menu. Then, you can either drop your media in to the upload box or click the “Select Files” button.
To add your media to a page or post, go to edit mode for that page or post and click on the “add media” button. Select the media that has already been uploaded to you media library.
Check out this guide to learn more about the Media Library.