It's the first time we've heard him speak.
The videotaped message is full of pro-jihad rhetoric. He rails against the United States and seems focused on his mission to carry out an attack in America, an attack that was foiled in Times Square.
Shahzad appears on the videotape and speaks in English about how war will be waged by all Muslims around the world and they will be victorious. This tape was made in Pakistan prior to the failed Times Square bombing, for which he has pleaded guilty.
"All the Muslim Arabs that have been martyred - I will take revenge on their behalf," he said. "I really wish that the hearts of the Muslims will be pleased with this attack, God willing."
The car bomb was crude, but had it gone off authorities say it could've been devastating.
Upon his arrest at JFK, Shahzad, who lived in Connecticut, cooperated with authorities, giving investigators useful information, about where he learned to make the bomb and how he funded and planned the attack.
But then in court last month he was without remorse. Instead, he embraced his actions.
He pleaded guilty but said he did not care for the laws of the United States and called himself a Muslim soldier.
Shahzad is scheduled to be sentenced in October.