Yendif Player

Can I create a search form/shortcode that I can use to search all th videos (added with yendifplayer) on my website?

Sorry, "Yendif Player" doesn't have any short-code to add search form to your page/post. But, 'Yendif Player' responses to the WordPress's built-in search widget. It means, you can just use the Standard WordPress search widget to search videos from your site.

Hope, this helps you!