There isn't a lot of video, let alone color video, of The Velvet Underground performing... (its not like everyone was running around with smart phones let alone camcorders)
But someone has gone through hundreds of reels of film (many of which were unmarked) at the SMU Library archives and unearthed footage of the band playing the Dallas Peace Day, a Vietnam War protest that happened on October 15, 1969.
Below are two (lengthy - but queued up) videos from the protest that were uploaded - which includes the band performing “I’m Waiting for the Man,” “Beginning to See the Light,” and “I’m Set Free,” and there’s an interview with Sterling Morrison as well.
Dallas Peace Moratorium - October 15, 1969
Peace Moratorium Dallas B-Roll w/The Velvet Underground - October 15, 1969 (silent)