The gunman's father meanwhile said he planned to sue French authorities over the killing of his son, who was gunned down by police at the end of a 32-hour standoff following the attacks that killed seven people.
Mohamed Merah, a 23-year-old Frenchman of Algerian descent, had previously boasted of filming his killings, and witnesses had told police that he appeared to be wearing a video camera in a chest harness.
A police source told AFP the footage had been seized after it was sent to the Paris office of the pan-Arabic satellite network Al-Jazeera.
"It's a video montage of the various killings set to music and readings from the Koran," the source said, describing the footage as "sufficiently explicit".
The source said investigators had been passed a USB memory stick that had been sent to the Paris office of Al-Jazeera, a news network financed by the Qatari royal family and watched throughout the Arab world.
Detectives visited the station Monday to pick up the evidence. The source said Al-Jazeera had not broadcast the footage but had probably retained copies.
Merah was killed on Thursday after a 32-hour siege by police from the elite RAID special intervention squad on his apartment in Toulouse.
Before the fatal shootout but during the siege, Merah told police through a barricaded door that he was behind three shootings this month in which three unarmed French soldiers, three Jewish children and a teacher were killed.
He also declared that he had uploaded footage of the attacks to the Internet, although no trace of the video had been found.
Witnesses and the anti-terrorist prosecutor assigned to the case have said that the shooter appeared to be wearing a video camera of the Go-Pro type of sports cameras harnessed to his chest during the shootings.
His father Mohamed Benalel Merah hit out against France Monday for having shot his son instead of taking him alive at the end of the siege.
"France is a big country that had the means to take my son alive. They could have knocked him out with gas and taken him in," he declared. "They preferred to kill him.
"I will hire the biggest named lawyers and work for the rest of my life to pay their costs. I will sue France for having killing my son."
He also said he wanted Merah to be buried in his ancestral homeland Algeria.
"God willing, I have decided to bury my son in Algeria," he said. "Mohamed has an Algerian passport and has been listed with the Algerian consulate in Toulouse since his birth."
Other family members have said they want Merah to be buried in France.
As police surrounded Merah's Toulouse apartment last week, the gunman claimed responsibility for all three attacks.
In the first two incidents he shot dead three soldiers in attacks in Toulouse and nearby Montauban.
Then last week he opened fire at a Jewish school in Toulouse, killing a 30-year-old teacher, his sons aged five and four, and a seven-year-old girl.
President Nicolas Sarkozy, in mid-campaign for re-election, said Monday French security services would launch a hunt for Islamic extremists following the killing spree.
"Are there other Merahs? All the security, intelligence and police services in democratic countries are on the lookout," Sarkozy told France Info radio.
He said the interior and justice ministries have been ordered to engage in a systematic evaluation of potential threats.
On Sunday authorities charged the gunman's brother, 29-year-old Abdelkader Merah, with complicity in the attacks but he denied any involvement.