There were musical shorts made in the 1930’s that could be considered early music videos. Most of them were films of a band or musical group performing their latest hits. However, they were usually shot with one camera, and used very few fast cuts, etc.
Some earlier posters asking about old musical jukeboxes are thinking of Scopitones. From the Dead Medium website (http://www.islandnet.com/~ianc/dm/dm.html):
“The Scopitone was a precursor of the rock video, a visual jukebox introduced in France in 1963. It was a coin-operated large-screen device intended for the bar and nightclub market, showing brief 16mm color films of such period popstars as Lesley Gore, Dion, the Tijuana Brass and Nancy Sinatra. These devices were essentially extinct by 1968 – “victims of slot-machine racketeers and censorial prudes,” according to Request magazine writer James Sullivan.”
I’ve seen some of the films, and they are primitive music videos, with weird storylines, odd settings, and guys wearing V-neck sweaters. They predate “A Hard Day’s Night” (the alleged father of music videos) by a year.