Entry with Post Format “Video” with video thumbnail

there are plugins for that. But if your preview video is not too long and from big dimensions – a lot of external hoster ( youtube, vimeo) offer the option to generate from a custom part (6s) of the video a gif transform. You can download that gif and use it as featured image.
See f.e.: https://webers-testseite.de/blog/

if you like to selfhost a video – you can convert a part of your video to gif by: https://ezgif.com/video-to-gif
For featured images there is a limitation of size (guess it is 320px width) to use a gif as featured image.

Big advantage of a gif : if you had to be compliant with GDPR (DSGVO) a gif Preview does not need to have opt in.