If you have exported your .xml file from another WordPress site, then you are right, it will not contain your media (images, video, etc). Instead it will only contain instructions for our servers on where to go to fetch those images from your previous site. Exports for both WordPress.com and WordPress.org do not contain the actual images, but just the posts, pages, comments, etc to keep file sizes small. The media is fetched during the importing process.
If your previous site is now gone and all of your media along with it, then there are a couple of things which you might want to consider:
1) You can reach out to your previous hosts and see if you can get a copy of your old site so you can get your media and upload it.
2) You can use Google's cache function to grab images and upload them (do a google search for your site and when you get a hit, instead of clicking the link, select the "View Cached Version of this Site" option).