The first method is to use Acrobat PRO: https://helpx.adobe.com/acrobat/using/adding-multimedia-pdfs.html. Some people may like to start with the use of a Word Document, yet ultimately one may need to use Acrobat’s rich media tools to add the media file or video in the PDF file.
The second method is to use Google docs: https://www.youtube.com/watch?v=d6M8WSTkEns. However, this normally works with YouTube videos only.
If you are not lucky enough to make use of both methods above, you may try the alternative suggestion of uploading the video on an online service and leaving a link to the video on your PDF file: https://wordribbon.tips.net/T007888_Embedded_MP4_Files_in_a_PDF_Document.html
If you have other suggestions in mind, we will be very happy to learn them. Leave a comment and a link to the how-to portion.