The video, which has since been deleted from his public Vimeo account, according to the Post, occurred the night Cox won the Republican nomination in July.
In the video, Cox shakes the hand of a young man seen wearing a polo with Proud Boys designs.
"Here, this is a present from Maryland Proud Boys to you," the person said. "It's a comb."
Cox responded by saying, "I appreciate it."
In a statement, Cox claimed he has never seen the man before.
"In the noise of the victory celebration, it was hard to hear what was being said," Cox said. "I was a surprised by him handing me something, and frankly, I did not even keep the comb. I had never seen him before, and I have not seen him since. I have no affiliation with anyone involved in violence on Jan. 6th, period."
WUSA9 was at the same primary victory party in Emmittsburg in Frederick County. Footage also captured Cox taking a picture with the same man seen in the video, although it is unclear if it happened before or after he accepted the gift.
Proud Boys is labeled as an extremist group, according to federal officials. Members of the group have also been tied to the Jan. 6th Capitol attack.
Cox, who is backed by President Donald Trump, also organized groups of protesters for the "Stop the Steal" rally that happened right before the insurrection. He also believed President Joe Biden's win should not have been certified. In one tweet, Cox said former Vice President Mike Pence was a "traitor." He later deleted the tweet and apologized.
The Republican candidate recently took a page from Trump when he announced refusing to say if he'll accept the results of the election in November.
His lawyers opposed a move by the state elections board in September to start counting mail-in ballots before Election Day.
Daniel Cobrin, an assistant attorney general representing the board, told a judge that if it cannot start counting ballots until two days after the election, results may not be finalized for months.
When asked why it would be in anyone's interest to have to wait until Christmas or New Year's for the election results, Cox said the legislature knew counting could be a problem and failed to override Governor Hogan's veto of a bill that would have allowed counting to start early.