Useful to know what device type, what video format, did you check the output file with something like mediainfo or other tools? Does it play on your PC? Possible bad USB device (end of life on read/writes) - did you check it? If it plays on your PC, and not your USB, not really an issue anybody here can address.
All my files from all provders work just fine via an external WD RED USB HDD, on my PC, on my ZIDOO, etc. For instance an MP4 file make work, but MKV may not work depending on what codecs are used for all the audio and video pieces wrapped inside. MKV is not a ‘format’ it’s a wrapper for playback, as a “package file.”
Helps to know what format you are trying to play on what device, and does that device actually support the file format? Is the file corrupted on the USB?
What is it about forum users that makes them think people owe them support for problems unique to their setup.