Wordpress now has its own embedded media player as of 3.6 and it works good but Icant seem to find out how to add an image in the video itself, like when the player first loads all I have is a black box with the play button, is there a shortcode, plugin or something that allows me to add the photo of my choice in each video?
You can take a look on Video Embed & Thumbnail Generator Plugin, that allows you to add several fields to any video uploaded to the WordPress Media Library. Just choose a few options and click Insert into Post and you'll get a shortcode in the post editor that will embed a flexible, responsive HTML5/Flash video player with a preview image.
As far as I'm aware the default media player doesn’t have the functionality you require so.
Check out the plugin JW Player with this you can do a shortcode like this
[jwplayer file="file.flv" image="image.jpg"]