As of the documentation here: https://confluence.atlassian.com/display/DOC/Embedding+Multimedia+Content .mpg and .mpeg files are supported by the multimedia macro, however embedding those files is not possible as the macro does not list those attached files. It works perfectly with any other media types.

Workarounds

• Convert the file to .avi format and embed it that way
• Attach a different filetype to the same page, embed that file with the multimedia macro, then use the Confluence Source Editor plugin to modify the macro parameters in the page source so that the filename is the .mpg file