The footage shows Sgt. Bowe Bergdahl sitting in a pick-up truck, before being walked to a helicopter in Khost province.
Sgt. Bowe Bergdahl was freed on Saturday in exchange for the release of five Guantanamo Bay detainees.
The deal has caused controversy in the US, with Republicans warning it could put American lives at risk.
The US army has said it would review the circumstances surrounding Sgt. Bowe Bergdahl’s capture in 2009.
General Martin Dempsey, also raised the possibility that Sgt. Bowe Bergdahl could be prosecuted if he had abandoned his post before his seizure.
Sgt. Bowe Bergdahl, from Hailey, Idaho, is in a stable condition in a military hospital in Germany.
The video, released on Wednesday, shows Sgt. Bowe Bergdahl dressed in traditional Afghan clothing as he sits waiting in the truck.
Several armed men with covered faces are seen standing next to the vehicle and on the hillside.
A Black Hawk helicopter then lands and the Taliban fighters – one of whom carries a stick with a white flag – lead Sgt. Bowe Bergdahl to a meeting point where he is being taken away by US forces.
The exchange took place in Ali Sher district of Khost province near the Pakistan border.
The circumstances of Sgt. Bowe Bergdahl’s capture remain unclear, with speculation he may have walked away from his base out of disillusionment with the US campaign.
Sgt. Bowe Bergdahl’s parents – who have relentlessly campaigned for his release – earlier confirmed they still had not spoken to their son.
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