In Moodle, select the link to Utilities from the top navigation menu. Select My Media.
Select the video thumbnail to open the Video.
Under the video, to the right, select the ACTIONS menu to open it.
Select Edit.
Select the Thumbnails tab. You have three options to replace the thumbnail.
Upload Thumbnail: You can upload your own image file to use as a thumbnail.
Capture: Move the play head to a suitable position in your video and press the Capture button. The thumbnail will be set to the current video frame.
Auto Generate: A set of thumbnails will be generated from the video and you can choose from one of them.
In Moodle 3.9, My Media is available from the user menu in Moodle. Open the user menu alongside your photo at the top-right of the page and select My Media.