Wordpress can manage natively video and audio files, but when it comes to play it on your site, your need a plugin.
Supported libraries are MediaElementJS and VideoJS, but you can easily add new ones.
1player allows you to save in the Media Library files that are not hosted in your Wordpress installation (like a CDN). You can also specify several formats and qualities for each video and asign it a poster image from the Media Library.
Another feature is video or audio playlist : the same player is used to display several media, with next and prev buttons to got through the playlist.