Try restarting the phone, so that all unneeded apps aren't running. Then, try playing a video. Start with ones that you have on the device first, ones that don't require internet access. They should work fine unless there is still something running in the background that is using up your phone's resources. You may want to install an app like 'clean master' or something similar to help you keep an eye on the phone's resources.
If it still occurs after that, when nothing else is running/open (exiting an app doesn't always shut it down, hence suggesting the phone restart), then you may want to check the device for viruses, malware, or bad apps.