In the technological era, the primary source of information is in the form of digital data, which has to be secured while storing or transmitting during communication over an unsecured network. Different approaches are used to provide security to digital data, viz. text, audio, image, and video. This paper initially explains the security system such as cryptography, watermarking, and steganography and their comparative analysis based on different characteristics, viz. satisfaction level of objective, type of carrier object and secret information to be used, dependency of security level, and quality assessment parameters. This review article focuses more on steganography methods applied over video. The various methods implemented for video steganography in compressed domain, viz. inter-frame and intra-frame prediction, motion vector estimation, entropy coding (CAVLC and CABAC), and transformed and quantized coefficients of DCT, DST, and DWT, etc. and the methods based on spatial and transform domain for uncompressed video are briefly described. It is followed by the detailed analysis of related work done by various researchers in video steganography and the obtained experimental results. Furthermore, the confidential data hiding in compressed videos are explained using Moving Picture Expert Group (MPEG—1, MPEG—2, MPEG—4), Advanced Video Coding (AVC)/H.264, and High-Efficiency Video Coding (HEVC)/H.265 that includes both spatial and transform domain. This paper summarizes and explains the detailed investigations of numerous techniques of video steganography based on the comprehensive literature survey. The methods used to assess the performance of video steganography are analyzed based on the quality assessment parameters such as imperceptibility; measured by peak signal to noise ratio (PSNR), mean square error (MSE), and structural similarity (SSIM), robustness; measured by bit error rate (BER) and similarity (Sim), and embedding capacity; measured by hiding ratio. The overall review of past literature facilitates to have in-depth knowledge for upgrading the video steganography.