At least three of the group were seen carrying babies. One of the students said: "We are the Chibok girls... . By the grace of Allah, we will not return to you."
The 20-minute-long video is the first since May last year when a woman claiming to be one of the 219 schoolgirls was seen holding a gun and also refusing to return to her parents.
It was not clear when or where the latest message was recorded or whether those who appeared on camera were under duress.
"We live in comfort. He provides us with everything. We lack nothing," she added.
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Shekau is also seen in the video, firing a heavy machine gun and making a 13-minute-long sermon.
The jihadists seized 276 students from the Government Girls Secondary School in the mostly Christian town in Borno state on April 14, 2014, triggering global condemnation.
Fifty-nine of them managed to escape in the hours that followed.
A total of 107 girls have now been either found, rescued or released as part of government negotiations with the Islamic State group affiliate.
The Chibok abductees are among thousands of women, girls and boys kidnapped during the conflict, which began in 2009 and has killed at least 20,000 people and displaced more than 2.6 million.
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