About 100 girls wearing full veils and praying are shown in an undisclosed location in a part of the 17-minute video in which Boko Haram leader Abubakar Shekau speaks.
Boko Haram militants, who are fighting for an Islamist state, stormed a secondary school in the northeastern village of Chibok on April 14 and seized 276 girls who were taking exams. Some have since managed to escape, but about 200 remain missing.
A government official said "all options" were being considered to secure the girls' release.
Nigeria has deployed two army divisions to hunt for the girls while several countries, including the United States, Britain, Israel and France, have offered help or sent experts.