If you have selected a video widget, you will need to add videos to the library before they will display. You can use either YouTube or Vimeo links.
To do this, you will need to go to the 'Media' tab, select Video Links and choose '+ Link'.
Paste the Youtube or Vimeo link and then prefill the name and description of the video. You can also assign it to a category if you like. To see more info on categories you can read this article.
Videos aren't showing on my widget?
The videos can't be added from the widget level. They need to be added to the library and then once these have been added, they will automatically feed into the video widgets.