The Swiss foreign ministry confirmed the existence of the video but would give no further information to protect the woman's security.
It was the second video appeal by the woman who was reportedly snatched from her home in March in the Red Sea port city of Hodeida by armed men, who then transferred her to Shabwa province, far to the east.
In May she appealed to the Swiss authorities to help secure her release and confirmed she was being held by Al-Qaeda combatants.
Shabwa is a stronghold of loyalists of the jihadists' local affiliate Al-Qaeda in the Arabian Peninsula, or AQAP, whose militants fight under the banner of Partisans of Sharia (Islamic law).
More than 200 people have been abducted in Yemen over the past 15 years, many of them by members of the country's powerful tribes who use them as bargaining chips with the authorities.
Almost all of those kidnapped were later freed unharmed.