Is it theoretically possible to download videos from ANY website?

What I'm essentially asking is - is there's always a way to download any video, from any given site, provided you know what you're doing?

Or are some videos essentially "locked in" to websites, so you can't download them regardless of what you try?

Reason I ask, is I have an embedded video on a website I'm trying to download, and I'm really struggling to download it, regardless of what method I try. (The video seems to be embedded with the webpage, rather than having its own specific URL)

Right now, using the Network tab on Dev Tools on Chrome, it seems to be the video is contained within an "xhr" type, but can't figure out how to download from this?

Any help?