Hello.

As you may know, anything you upload to the Internet is difficult to fully protect from being downloaded or copied. However, you can make it more difficult to download the videos.

With the default HTML5 video player that WordPress uses, you can add the following attribute to your <video> tag: controlsList="nodownload". This will hide the ‘Download’ option from the video controls list.

Example:
<video controls controlsList="nodownload" src="https://example.com/file.mp4"></video>

You can also achieve something similar with CSS, taken from this post:

video::-internal-media-controls-download-button {
    display:none;
}

video::-webkit-media-controls-enclosure {
    overflow:hidden;
}

video::-webkit-media-controls-panel {
    width: calc(100% + 30px);
}

You could also try using a different video player rather than the default one. This may give you more options such as removing the download option from the context menu. There’s a couple of examples in the plugins directory: https://wordpress.org/plugins/search/video+player/

If you’d like to explore more options, there’s a discussion here on Stackoverflow about the same topic.

Hope this helps!