Step 1: Pause the video playback where you have to take screenshot. Don't minimize the player, just pause.
Step 2: Simultanously press power key and volume down key of your device until a notification saying 'Saving screenshot' appears.
Step 3: Ohh.. There is no step 3. Go to /sdcard/pictures/screenshot/ folder and avail the screenshot of the video where you have paused.
When you press pause button in the player, the user interface such as playback seek bar, notification bar with time and pending notification of apps, and battery status will be shown. Now tap anywhere else on the screen to switch to full view mode of the video.
More about the player:
The player does not support taking screenshot by its own. We have to pause the playback and take the snapshot.
You may have a question in your mind. 'Can I have the same in other video player? I use 'X' Player instead of Mx Player. Can I?'
The answer is 'Yes, you can.' It is the feature supported by the OS level. Whatever app you are running above it, it doesn't matter at all.
All you may ask like 'How to establish the same in iPhone / iPad?'. There are nice apps available to do the same in iTunes store. Purchase it, and use.