How to create a video series in one player with a menu like this?

I make video courses on my website and some of the courses include a lot of videos. I would like to make it as easy as possible to jump from video to video so I’m looking for something like this.

https://philliphaumesserphotography.com/wp-content/uploads/2018/01/Video-with-menu.png

The video and menu are contained within the player. Does anyone know if there is a plugin that can do this? Or some way to do this in WordPress? All of the plugins I have found have not been very helpful. Any help would be greatly appreciated!

Also, this example I gave is from someone else’s WordPress website. This is the exact page that it is from if that helps.

https://megbittonlive.com/course/simple-studio-newborn/

It’s a membership site though, so I don’t know if this will be helpful or not.

Thanks in advance!

The page I need help with: [log in to see the link]