Militants said they took the dog from American forces in the Alin Nigar district of Afghanistan’s Laghman province in late December.
However, the nationality of the dog remained unclear.
The US-led International Assistance Security Force confirmed that a dog had gone missing in December. But US military officials in Washington, DC, said it belonged to a British unit.
Seen surrounded by heavily-armed militants in the video, the reddish-brown dog looks more sheepish and confused than terrified.
Its captors show off specialized rifles and a global positioning unit they say came attached to the dog.
"This dog was very important to the Americans," Taliban spokesman Zabiullah Mujahid told NBC News. "Once we got this dog, the Americans tried their best to get it back but they did not succeed.”
Analysts at SITE Intelligence Group, which tracks and studies insurgent propaganda, could not recall anything like the new video.
“I don’t remember seeing a dog used as a hostage,” the group's founder, Rita Katz, told The Washington Post.
Here is the video, via AFP: