Details of my setup are in a separate thread on here: "Iridium and Headrush", but it's far from cheap.

It's possible you're not getting the full range of frequencies through your headphones when mixing the audio from the video and your guitar.

Simple solution for guitar tone is use an amp.

Edit.... I've just reread your post. If you're playing acoustic, then using headphones is a bad choice. Play along with the video playing through a speaker.

Also, if you're new to playing, you will find that when you play without the video sound that your timing might be off, so get used to tapping a foot in time to the beat when using videos and also when just playing unaccompanied, that will improve your playing.

Don't beat yourself up if your tone and such isn't perfect, but do try to make gradual improvements.