If you use the overlay option in the video module and generated a thumbnail for the video, you will notice the play icon on top of that image as seen here:

However, if you want to change it, it can be done with a simple CSS code:

.et_pb_video_play:before {
background: url(https://site.com/icon.png);
font-size: 0;
height: 60px;
width: 60px;
display: block;
left: 0;
right: 0;
a.et_pb_video_play {
    margin-left: 0 !important;
    left: 0;
    right: 0;

The result can be seen here: 

Be sure to change the image link, the width and height of your image.

Add the code in Dashboard > Divi > Theme Options > Custom CSS field, to apply globally (for all video modules)

Or add the code in the page custom CSS settings, to apply on the current page only.

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