Footage of Mohammed Merah's shooting attacks in Toulouse has been obtained by the Paris branch of Arabic-language satellite news channel Al Jazeera.
The channel gave the memory stick, said to contain two clips of up to 25 minutes of video footage, to investigators on the case.
Al Jazeera's Zied Tarrouche said that the channel had kept a copy, but had not yet made a decision about whether to broadcast any of the footage.
Even before the stand-off began between gunman Merah and the French police, which ended in Merah's death 32 hours later, police said they believed he had filmed the killings. Before he died Merah admitted to the murders of four people outside a Jewish school in Toulouse, as well as three paratroopers. His brother has been arrested although police are thought to be looking for a third accomplice.
Mr Tarrouche said the memory stick had been sent to them on Monday, accompanied by a letter that claimed al-Qaida was responsible for the rampage.
It has been confirmed that Merah visited Israel and the West Bank 18 months ago, during which time he was questioned by the Shin Bet after entering from Jordan. Merah was already known to have visited Pakistan and Afghanistan.
But according to Prime Minister Francois Fillon, "there was no single element" that would have given the police cause to arrest Merah before his first killing on March 11.