"Don't come to Afghanistan again. Next time, nobody will release you," one of the gun-toting militants is heard telling Bergdahl in the 17-minute video.
It shows a US military helicopter landing in a valley, kicking up small clouds of dust as a jittery-looking Bergdahl waits just a few feet away flanked by militants clutching a white flag.
After a brief exchange of handshakes between insurgents and US soldiers, Bergdahl moves unsteadily towards the helicopter.
Bergdahl - the only US soldier held by the Taliban after being captured in Afghanistan - was freed on Saturday in exchange for five senior Taliban militants detained at Guantanamo Bay in a deal brokered by Qatar.
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The Taliban video, entitled "Ceremony of the American soldier exchange", at one point also displays the words "Don't Come Back to Afghanistan" superimposed over footage of Bergdahl.
A male voiceover in the video - laced with religious music and chants of "Allahu Akbar" (God is greatest) - said the exchange occurred in the eastern Afghan province of Khost.
"The Americans contacted us and asked us where was a good place to meet. We contacted tribal elders to come and join us, because we do not trust them (Americans)," the voiceover said.
The authenticity of the video could not be independently verified by AFP.
US defence officials have said dozens of US special forces troops backed up by helicopters were sent for the handover.
"Fortunately, no shots were fired," Defense Secretary Chuck Hagel said Sunday. "There was no violence. It went as well as we not only had expected and planned, but I think as well as it could have."
Bergdahl is now being treated at a US military facility in Germany.
The US military's top officer General Martin Dempsey said yesterday that Bergdahl may be disciplined if the army holds him guilty of misconduct, after claims from members of his unit that he had been captured in 2009 after abandoning his post.