WordPress stores your images and media in a Media Library. You can view your media library, and add items to it directly, by clicking on "Media" in the left navigation menu of your Dashboard. Read more about the Media Library here: wordpress.org | Media Library
Some videos from the internet (for instance, YouTube) can be embedded simply by pasting in their URL while editing the text of your site. A full list of which online content you can automatically embed in your WordPress site can be found here: wordpress.org | Embeds
Please see the Kaltura page of this guide for how to embed Kaltura videos into your WordPress site.