The video, which if authenticated would be the first time the leader of the Islamic State (IS) has appeared on camera since proclaiming himself the leader of the world's Muslims, was apparently taken during Friday prayers at Al-Nur mosque in the northern Iraqi city.
"The video is being investigated and analysed and verified by security forces and intelligence officers," said Lieutenant General Qassem Atta, Prime Minister Nuri al-Maliki's security spokesman.
"We have specialised analysts investigating all of this."
Superimposed text identified the man as "Caliph Ibrahim", the name Baghdadi took when the group on June 29 declared a "caliphate", a pan-Islamic state last seen in Ottoman times, in which the leader is both political and religious.
Militants led by IS overran Mosul on June 10 and subsequently seized a swathe of territory across five provinces north and west of Baghdad in an offensive that has displaced hundreds of thousands, alarmed the international community and piled pressure on Maliki as he bids for a third term in office.