In the three-minute video released yesterday, a woman who claims to be Maida Yakubu, one of the 276 schoolgirls kidnapped by Boko Haram in April 2014, is seen wearing a black veil and holding a gun.
Flanked by three other women clad in black, she proclaims her loyalty to Boko Haram, which has been fighting the government since 2009 in an uprising that has killed over 20,000 people.
When asked by a man in the background why she does not want to return home to her parents, she replies: "The reason is that they live in the town of unbelief. We want them to accept Islam."
Last week, 82 schoolgirls who were kidnapped three years ago were released after negotiations between the terrorist group and the government.
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Presidency spokesman Garba Shehu later disclosed that one girl had refused to leave, saying she had married a Boko Haram fighter.
Analysts said it was likely that others may have developed sympathies for their captors over time.
The Islamist militants seized the Chibok girls in April 2014, prompting global condemnation and drawing attention to the bloody insurgency.
Fifty-seven escaped in the immediate aftermath. Of the 219 who did not manage to flee, 106 have either been released or found, leaving 113 still missing.
In the video, a man who identifies himself as Abu Dardaa, or Money, says Boko Haram has returned to Sambisa Forest, which was long its stronghold in Borno State, and is preparing to bomb Nigeria's capital city of Abuja.
The threat comes as Nigeria opened another round of talks for the release of more kidnapped schoolgirls.
The Nigerian military said in December that it had ousted Boko Haram from Sambisa Forest.
Today, a statement by Brigadier General Sani Kukasheka Usman, an army spokesman, confirmed that the man was among those freed in the exchange, while calling the video "mere propaganda".
While the jihadists have lost significant swathes of territory since Nigerian President Muhammadu Buhari came into power in 2015, they are still capable of launching deadly attacks on soldiers and continue to unleash suicide bombers in cities and camps for internally displaced people in Nigeria's ravaged northeast.