A movie is usually something that you watch in movie theatres. They are usually 2 hours long. Example: "One of my favourite movies is Mean Girls." I think the Japanese equivalent is 映画.
A video can be anything that is recorded with audio and visuals. Movies are usually not referred to as videos and vice versa (videos are usually not called movies). Something on Youtube is called a video. Ex. "Did you watch that Youtube video I sent you?" I think the Japanese equivalent is 動画.
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