Where can I put my video to embed on my WordPress site and not use YouTube?

We can’t answer that, have you considered a hosting forum?

I have my own server space where I can host the video (it is there now), but WordPress does not accept it. I can only have a link to the video, I can’t embed it. I am asking if there are options other than YouTube that WorkPress will accept.

What file format is it?

It can be in any format. I used easy html5 video to put it on my server, so it is .swf and .mv4 currently, but I can change it.

Not sure what to look for using keywords myself, but I’m sure you can find better plugins: https://www.ads-software.com/plugins/search.php?q=video