Playing files downloaded (such as .ogv files)

I can’t play files I download because every program I launch has no options to browse to a file on my iPhone. It’s always either a url that’s needed or access to cloud based storage. There are no options to browse files on my iPhone in any media player app. Is this some kind of security limitation? Seems like a very silly limitation.

File is an .ogv (ogg)

Example App I’ve tried is PlayerXTreme