The 24-year-old initially deleted the footage after posting it on Instagram but it has now re-emerged three months after the X-Factor star and rugby player vanished in Barcelona.
Levi was last seen leaving a pub in the Spanish city on October 29, after travelling there from Ibiza.
Reports have speculated the missing former professional rugby player may have drowned after being hunted by criminals over a £100,000 debt.
The Instagram video was posted four days before he vanished but has been retrieved by private investigator Gavin Burrows.
He said it’s being released with the agreement of friends and family in a bid to help get information about what might have happened.
His Line of Inquiry firm is offering a £10,000 reward for information for information leading to Levi being found.
The video begins with him saying: “My name is Levi Davis and my life is in danger. I beg that you listen and try to understand what I’m telling you.”
In the footage, a distressed Levi alleges he was being blackmailed by criminals who threatened him and his family.
He said the blackmail began after he had been on the X-Factor in 2019.
Levi said he “went to the police and I asked them if they could help me” because “something was happening to me and wasn’t something good”.
“You may ask ‘why wouldn’t you just stay away from individuals which wish you harm’,” a tearful Levi said.
“And that’s what I tried to do by starting a new life in Australia. But what happened is that I was followed there also.”
Levi said he want to one of the blackmailers to “conform to their demands”.
“I was told by them in ways which are not direct but are absolutely true that they were going to attempt – if I said anything out – they were going to attempt to kill me, threaten my family.
“And they also were trying to frame me and are.”
Levi alleges that the blackmailers had access to his medical records as they brought up “things that only I have had conversations with the NHS”.
He said he has been “trying to understand their demands” adding “on the surface I had to look normal, they told me to look normal”.
The Sun Online has chosen not to reveal why Levi alleges he was being blackmailed.
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Exactly what has happened to Levi remains a mystery.
After his time on the X-Factor he began to build a music career with a second single – Los Angeles – due to be released in November, for which publicity pictures were taken.
His friends say they had been concerned about him before he left.
Close friend Mike Guida, 25, told The Sun Online, he had been talking to Levi about being blackmailed but became concerned about Levi when he tagged him in the video.
He said Levi had been discussing the issues raised in the video in the weeks prior, including when he was drunk.
“The video is pretty much everything he had been saying minus the alcohol fuelled angst,” said Mike, who has known Levi since they were at university together.
“It was almost word-for-word what he was saying in the video.
“It was concerning that he’s said it drunk and then said it sober.”
After the pair talked, Levi took down the video and told Mike “I need to sort myself out”.
He said: “In the past he said there’s somethings going down, I don’t want you guys to be hurt.
“I tried to push him to say ‘mate you’ve got to give me some details to help me understand a bit but he would say ‘no, no it’s fine’.”
He added: “It’s heartbreaking. He’s one of the closest guys in the world to me.
“He was one of those people I could wholly rely on outside of my family. I’ve had a couple of breakdowns thinking about it.”
Another friend, who asked not to be named, said it was suggested to Levi that the allegations of blackmail were down to mental health issues.
“But no he was adamant and said ‘no people are following me’. It’s just so odd.
“When we saw the video we were really shocked. We said ‘you might want to be careful putting that out there’.
“We were extremely concerned for his safety and welfare. It’s not something you would do lightly.”
Anyone with information can contact Line of Inquiry free of charge from anywhere in the world.
This week it emerged that Levi’s Instagram had up to 38 contacts mysteriously deleted after he vanished
The names and how they were deleted could provide vital clues about what happened to him.
The rugby player-turned-reality star performed on X Factor: Celebrity in 2019 with fellow rugby players Ben Foden and Thom Evans as part of the group Try Star.
In 2020, he starred in the E4 dating series Celebs Go Virtual Dating.
Levi made history that year when he was the first rugby union player to come out as bisexual while still playing.