It was not possible to tell whether the footage was staged for propaganda purposes, especially scenes of residents cheering Islamist fighters.
The message appeared to be aimed at reinforcing Shekau's claim that he has created a caliphate within Nigeria.
In the 44-minute video, Boko Haram voices support for other so-called caliphates, including the one proclaimed in Iraq and Syria by the Islamic State (IS) group.
The video, which was delivered through the same channels as past messages, shows armed men lined along a well-paved road, with three pick-up trucks equipped with heavy weapons also visible.
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Black, crested flags associated with the Islamist group are also shown.
Later, an armoured vehicle is driven down the road lined with both fighters and individuals who appear to be residents of the town.
Boko Haram has released a series of videos showing similar military hardware, equipment it says was stolen from the Nigerian military. Such claims have been impossible to verify.
Most of the message is taken up by a sermon from Shekau, delivered indoors but apparently played on a speaker to locals assembled outside.
"We have indeed established an Islamic caliphate," he said, restating a call he first made in August.
The images of the sermon include unusually clear close-ups of Shekau, who in past videos has often been shown at a distance, sometimes in grainy footage.