Generally, yes. The MKV format itself is just a container. However, as with any file from the internet, only open it if you trust the source or the Telegram channel you grabbed it from. Name of downloaded files differs from original file name

The .mkv extension tells us it's a file—a high-quality "container" that can hold video, multiple audio tracks, and subtitles all in one place. The long string of letters and numbers (the "AgAD..." part) is a unique ID generated by Telegram’s servers to identify that specific piece of media. Why Does Telegram Give Files These Names?

You can forward files to a Telegram Renamer Bot before downloading them to give them a recognizable name.