Fortunately there’s a terrific open source video player app called VLC that will let your Mac (or PC or Linux system) play just about any possible video format you can imagine, including MKV.
You can try dragging and dropping videos into your Web browser too, but give how many formats are floating around on the ‘net, it’s a disappointingly small subset. Your Mac system has a fairly narrow set of video file formats it can understand and play, mostly all through the QuickTime Player program.