The video features two suspected ISIS fighters threatening to blow up the White House and launch more attacks on Paris. One fighter mentions a "conquest of Rome."
The Vatican's St. Peter's Square was recently featured on the cover of the terror group's online magazine.
Italy has responded to the video and magazine by beefing up security in Rome and the Vatican, with 1,000 members of the army being deployed around the country.
The U.S. Embassy in Rome is urging Americans visiting Italy to remain vigilant and aware of their surroundings amid the latest ISIS threats. It warns that St. Peter's Basilica in Rome, as well as Milan's Duomo and La Scala, could be terrorist targets.
The Embassy warns that "general" venues such as houses of worship, restaurants, theaters and hotels in Rome and Milan could be targeted.
The video is the latest to be released in what has become an almost daily occurrence for ISIS, which has taken responsibility for last week's Paris terror attacks
, the downing of a Russian passenger jet
in Egypt and a pair of suicide bombings in Beirut.
Wednesday, the terror group released a video warning of an impending attack on New York City.
The video mentions Times Square and purports to show an explosive device being put together and a bomber zipping his jacket over a suicide belt.
The New York City Police Department said it was aware of the video and was deploying additional members of its new anti-terrorism squad out of an abundance of caution.
"While some of the video footage is not new, the video reaffirms the message that New York City remains a top terrorist target," the statement said. "While there is no current or specific threat to the city at this time, we will remain at a heightened state of vigilance and will continue to work with the FBI, the Joint Terrorism Task Force and the entire intelligence community to keep the city of New York safe."
Mayor Bill de Blasio encouraged New Yorkers to go about their normal business.
"The people of New York City will not be intimidated," he said late Wednesday. "We understand it is the goal of terrorists to intimidate and disrupt our democratic society. We will not submit to their wishes."
A similar video was released in April, according to John Miller, the NYPD deputy commissioner of intelligence and counterterrorism.
"This is an old video that was kind of rehashed," he said. "This is ISIS doing what ISIS and al Qaeda and terrorist groups do, which is propaganda."
"When we see the video, we make note of it, but it's like a lot of videos we've seen," Miller said.
CNN terrorism analyst Paul Cruickshank said authorities can't ignore the video, whether or not it turns out to be a credible threat.
"I think they have to treat it quite seriously, because ISIS is the richest terrorist group in history. It has an extraordinary number of Western recruits. ... One of its biggest ambitions right now is to a launch a terrorist attack inside the United States," he said.
ISIS first drew international attention for taking over swaths of Iraq and Syria, leaving a trail of violence and destruction in its wake. Its efforts to bring terror to the global stage seem to be growing.
Earlier this week, another video released by ISIS threatened to strike Washington.
Authorities in the U.S. capital said they are stepping up security
. The FBI said there was "no specific or credible threat to the United States."