The video shows Bergdahl in traditional Afghan dress, being prompted in English by his captors to call for forces to be withdrawn from Afghanistan.
He appears to be in good health, but says that he is scared.
"I am scared. I'm scared I won't be able to go home. It is very unnerving to be a prisoner," he says.
"I have my girlfriend who is hoping to marry. I have my grandma and grandpas. I have a very, very good family that I love back home in America."
A voice off camera prompts: "Miss them."
The soldier continues: "And I miss them every day that I'm gone. I miss them and I'm afraid that I might never see them again and that I'll never be able to tell them that I love them again. I'll never be able to hug them."
The US military denounced the release of the video, calling the images Taliban propaganda that violated international law.
"We condemn the use of this video and the public humiliation of prisoners. It is against international law," Colonel Greg Julian, a US military spokesman, said.
"We are doing everything we can to return this soldier to safety."
On July 2, the US military said that an American soldier had disappeared after walking off his base in eastern Afghanistan with three Afghan counterparts and was believed to have been taken prisoner.
A US defence official said the soldier, known now to be Bergdahl, was noticed missing during a routine check of the unit on June 30.
Details of such incidents are routinely held very tightly by the military as it works to retrieve a missing or captured soldier without giving away any information to captors.
But Nabi Mullakheil, a general in the Afghan police, said the soldier went missing in eastern Paktika province near the border with Pakistan from an American base. The region is known to have a strong Taliban presence.
A number of civilians have been abducted in Afghanistan including aid workers and journalists, both foreigners and Afghans.
But the only other service member that officials could recall who had been captured was a Navy SEAL in March 2002, who fell out of a helicopter and was killed by al-Qaeda.