The journalist's son Mahmoud appears in the video with his sister Kholoud.
The wife, son, and daughter of an Al Jazeera journalist were killed in an Israeli strike on Gaza, the Qatar-based network said in a statement on Wednesday.
Al Jazeera said the wife and two children of its Arabic-language channel's Gaza correspondent Wael Al-Dahdouh were killed in a strike on the Nuseirat refugee camp in the Gaza Strip.
"Their home was targeted in the Nuseirat camp in the centre of Gaza, where they had sought refuge after being displaced by the initial bombardment in their neighborhood, following Prime Minister Netanyahu's call for all civilians to move south," Al Jazeera said in a statement.
"The indiscriminate assault by the Israeli occupation forces resulted in the tragic loss of his wife, son, and daughter, while the rest of his family is buried under the rubble," it added.
Just days before the strike, Wael Al-Dahdouh's children had made a video for Al Jazeera Arabic highlighting what people in Gaza were going through as Israel continued to bombard the region to destroy Hamas.
His son Mahmoud, who was killed in the strike, appears in the video with his sister Kholoud. "Do you know what's happening in the Gaza Strip? Whole neighbourhoods have been destroyed. In Gaza, there is no place safe. We are not safe," they say in the video.
"Where are the human rights? Where are the international laws? Where are the countries of the world to see what's happening to us?," they ask while showing neighbourhoods that have been destroyed.
They end the video on a tragic note, saying "Help us stay alive".
In images and footage run by Al Jazeera and shared on social media, Al-Dahdouh was shown mourning over the bodies of his wife and children at a hospital in Deir el-Balah in the southern Gaza Strip.
Israeli strikes have killed more than 6,500 people in Gaza, a rise of more than 700 since Tuesday, according to the Hamas-run health ministry.