Thank you for contacting the Canvas Community. We're sorry to hear you've been experiencing issues with downloading a video of yourself. It greatly depends where you created it - in an assignment or discussion using the media recorder? Using Studio? Using Kaltura? These all have different download options. If you recorded the video outside of Canvas and uploaded it- also this should be under Account (top left) and then Files. You may want to contact canvas support or give more context into how you recorded it and where it is to assist you better.
Because of the complexity of the issue, and the concerns for privacy, it would be best if you contacted Canvas Support directly to pinpoint the source of the issue and provide a resolution: