zstyle completion settings affect how completions are displayed, and can tune how completions are generated, but does not determine the code to generate completions. That code is set with
compctl or equivalent methods.
If you just want to specify media files as completions for
compctl in your
compctl -/ -g '*.(#i)(mp3|mp4|mpg|avi)' mpv
-/ option says to complete directories in addition to other completions (otherwise you wouldn't be able to reach files in subdirectories). The
-g option specifies a glob pattern to select files for completion.
(#i) causes a case-insensitive match.
For a more complex selection of completions, write a function (out of scope for this answer) and associate it with the command with
compdef or through autoload magic. This function can query zstyle styles if it wants to tune how it generates completions.