Ansar Beit al-Maqdis, the country's deadliest militant group which has pledged allegiance to the Islamic State group that has seized large areas of Iraq and Syria, has previously released videos of beheadings.
The new video posted on YouTube shows the "confessions" of four men who admitted to being informants.
It then shows a militant shooting two handcuffed men, one of whom is also blindfolded, in the head. However, it is not clear if the two men killed were among those had confessed.
Jihadists are also shown manning checkpoints and searching for soldiers and policemen, and the footage features a militant vowing to launch more attacks on Egyptian security forces.
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Ansar Beit al-Maqdis (Partisans of Jerusalem) says it has killed at least 12 people since August last year, often by beheading, for allegedly working for Israel's Mossad spy agency.
Security in the Sinai Peninsula bordering Israel has worsened since the army ousted Islamist president Mohamed Morsi in July last year.
Militants have killed scores of security personnel, saying the attacks are in retaliation for a brutal government campaign against Morsi 's supporters.
The authorities have carried out a widespread crackdown which has left at least 1,400 people dead and more than 15,000 jailed.
Most of the deaths occurred when police stormed two pro-Morsi protest camps in Cairo in August last year.