FFmpeg has three concatenation methods:
1. concat video filter
Use this method if your inputs do not have the same parameters (width, height, etc), or are not the same formats/codecs, or if you want to perform any filtering.
Note that this method performs a re-encode of all inputs. If you want to avoid the re-encode, you could re-encode just the inputs that don't match so they share the same codec and other parameters, then use the concat demuxer to avoid re-encoding everything.
ffmpeg -i opening.mkv -i episode.mkv -i ending.mkv \
-filter_complex "[0:v] [0:a] [1:v] [1:a] [2:v] [2:a] \
concat=n=3:v=1:a=1 [v] [a]" \
-map "[v]" -map "[a]" output.mkv
2. concat demuxer
Use this method when you want to avoid a re-encode and your format does not support file-level concatenation (most files used by general users do not support file-level concatenation).
$ cat mylist.txt
file '/path/to/file1'
file '/path/to/file2'
file '/path/to/file3'
$ ffmpeg -f concat -safe 0 -i mylist.txt -c copy output.mp4
3. concat protocol
Use this method with formats that support file-level concatenation (MPEG-1, MPEG-2 PS, DV). Do not use with MP4.
$ ffmpeg -i "concat:input1|input2" -codec copy output.mkv
This method does not work for many formats, including MP4, due to the nature of these formats and the simplistic concatenation performed by this method.
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If in doubt about which method to use, try the concat demuxer.
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Source: Stackoverflow.