The first World Cup team to do so was Australia.
The video message criticizes the treatment of migrant workers.
Football Australia said the "suffering" felt by workers and their families caused by the tournament can't be ignored.
Australia is going to play in the tournament in the Middle East.
The video, which features 16 players, calls for "effective remedy" for migrant workers and the decriminalisation of same-sex relationships.
The 16 Australia players involved in the video include captain Mat Ryan, Bailey Wright, Kye Rowles, Alex Wilkinson, and the president of the players' union.
The players said that they don't have all the answers.
FIFPro, the Building and Wood Workers International, and the International Trade Union are working together to establish a lasting legacy in the state.
The decriminalisation of all same-sex relationships, as well as establishing a migrant resource centre, must be included.
"These are the basic rights that should be given to everyone and will ensure continued progress in Qatar and a legacy that goes beyond the final whistle of the World Cup."
The abolition of the kafala system, which allowed employers to take away workers' passports and prevent them from leaving the country, was acknowledged by the players in the message.
Football Australia mentions the laws on LGBTQ+ relationships. Homosexuality can be punished by death in the gulf state, with comments from UK foreign secretary James Cleverly that gay fans attending the tournament should show flexibility and compromise.
Joshua Cavallo is the only currently active male top-flight footballer to be out as gay.
"As the most multicultural, diverse, and inclusive sport in our country, we believe everyone should be able to feel safe and be who they are," the statement said.
Although we acknowledge the highest levels of assurances given by HH Amir of Qatar and the President of Fifa, we hope that this openness can continue beyond the tournament.
It is one of the most notable demonstrations of criticism made by any of the teams playing at the World Cup, with the decision to hold the tournament in Qatar having been heavily criticized.
There have been complaints about the treatment of foreign labourers in the country.
According to the Guardian, 6,500 migrant workers from India, Pakistan, Nepal, Bangladesh and Sri Lanka have died since it won the right to host the World Cup in 2020.
The numbers are based on figures provided by the embassies in the country.
The total was not true because not all of the deaths were related to the World Cup.
There were 37 deaths among labourers at World Cup stadium construction sites over the course of two years, according to the government.
Australia is in a group with France, as well as Tunisia.
The Danes wore a "toned down" jersey for the World Cup to protest against human rights abuses in the Middle East.
Nine European countries, including England, will wear 'One Love' armbands to protest the laws surrounding same-sex relationships.
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