The video on the Web site shows a blindfolded man identifying himself as the diplomat, but does not show him being killed.
"We announce in the al-Qaida in Iraq that the verdict of God against the ambassador of the infidels, the ambassador of Egypt, has been carried out. Thank God," a written statement on the site read.
The group, led by Jordanian militant Abu Musab al-Zarqawi, said a day earlier that it had sentenced al-Sherif to death as an "apostate" for his country's support of the United States and the Iraqi government, reported the Associated Press.
Al-Sherif, who was sent to Baghdad in early June, was kidnapped in the western part of the capital city as he was buying a newspaper late Saturday.
The claim's authenticity could not be immediately confirmed. Egyptian officials did not immediately comment.
The Egyptian government said last month it would upgrade its mission in Iraq to full embassy status, which would have made al-Sherif the first Arab ambassador to Iraq's new government.
The Web site said al-Qaida hoped to kidnap more foreign envoys.
"The reason we delayed the announcement of capturing the ambassador of the dictator Egypt was to be able to capture as many ambassadors as we can," the statement said.
It said al-Sherif gave his captors under interrogation "information making clear the infidel nature of the (Egyptian) regime and his confessions have been recorded."
"The Egyptian regime is one of the first to launch war on Islam and Muslims, since several decades," the statement said, pointing to Egypt's crackdown on Islamic militants in its own country and its agreement to help train Iraqi security forces, the AP reported.