Video steganography approach enables hiding chunks of secret information inside video sequences. The features of video sequences including high capacity as well as complex structure make them more preferable for choosing as cover media over other media such as image, text, or audio. Video steganography is a prominent as well as the evolving field in the information security domain and significant number of video steganography methods are proposed in recent years. This article provides a comprehensive review of video steganography methods proposed in the literature. This article initially reviews various raw domain-based video steganography methods. In particular, the raw domain-based methods include spatial domain approaches such as least significant bits (LSB), transform domain-based methods such as discrete wavelet transform, discrete cosine transform, etc. Furthermore, the article looks into various compressed domain steganography methods. A critical comparative analysis is included in the article to analyze and contrast the steganography methods proposed in the literature. A brief description of various evaluation matrices for video steganography methods is provided in this article. Moreover, a brief introduction to steganalysis and video steganalysis is provided. The article concludes with a discussion focused on the limitations and challenges of the video steganography methods. Further, a brief insight into future directions in video steganography systems is provided.