Former Yemeni President Ali Abdullah Saleh was killed on Monday by gunmen of Ansar Allah al-Houthi group after the bombing of his home in the Yemeni capital of Sanaa.
It was not immediately possible to confirm the authenticity of the video, which was circulating widely on social media.
Al Arabiya quoted a source in Saleh's GPC party as saying he was killed by a sniper.
Saleh was once allied with the rebel Houthis, a Shiite group linked with Iran.
In response, Houthi chief Abdul-Malek al-Houthi made a surprise speech this morning, calling on Saleh and tribal leaders to intervene to stop the internal bloodshed and reunite the internal ranks to face the "aggression", in reference to the Saudi-led military coalition.
Circumstances of his death remained unclear but some officials said rebels killed him as he tried to leave the capital Sanaa.
The source said Saleh's death did not mean the end of the "revolution" against the Houthis, and stated Saleh was now a "martyr of the country".
But in recent months, the alliance frayed amid Houthi suspicions Saleh was leaning toward the Saudi-led coalition backing Hadi.
Saleh's announcement was welcomed by the Saudi-led coalition, which has struggled to achieve any progress against the Houthi-Saleh alliance that had controlled most of northern Yemen since 2015 and forced president Abd-Rabbu Mansour Hadi to flee into exile.
Saudi-led air strikes are said to have targeted Houthi rebel positions, lending support to loyalists of the former president.
Saleh has accused the Huthis of seeking to monopolise power and the rebels have accused the strongman of treason over his suspected contacts with Saudi Arabia.
At least 10,000 people have been killed in the civil war, which is viewed as a proxy struggle between Saudi Arabia and Iran.
Yemen has since been rocked by rebel infighting.
Almost one million people have been infected by cholera in Yemen this year, including more than 2,200 people who have died, according to the World Health Organization. "This latest outbreak of violence could not come at a worse time for the Yemeni people, who are already caught up in the world's largest humanitarian crisis".