Rising terror: Extremist groups in Africa's Sahel announce merger
The new movement will operate under the name the Group to Support Islam and Muslims, and will be led by Ansar Dine's Iyag Ag Ghaly, ANI said, adding that it had received the video on Wednesday.
The Macina Brigades group, active in central Mali, has also joined the merger.
ANI distributed a screenshot of the video showing five jihadist leaders seated together, with Iyad Ag Ghaly in the centre.
The four others were identified as the "emirs" of the new movement.
In an audio excerpt, Iyad Ag Ghaly can be heard swearing allegiance to slain Jordanian jihadist Abu Musab al-Zarqawi - whose al-Qaeda in Iraq group later evolved into the Islamic State group - and Ayman al-Zawahiri, al-Qaeda's current leader.
He can also be heard praising al-Qaeda founder Osama Bin Laden, who was killed in Pakistan in May 2011.
It was not clear when the video was recorded, though ANI said it was "recent".
All three groups already had ties to al-Qaeda, and were involved in an onslaught that saw northern Mali fall out of government control for nearly a year from spring 2012.
The extremists were later expelled from the region by a French-led international military intervention.
Nonetheless, large swathes of northern Mali continue to come under attack from jihadist groups.
The area is also seen by governments battling the jihadist threat as a launchpad for attacks against other countries in the region.