Short answer: no. There might be some videos spread out on some steps, and mostly not Pentaho official videos. With your Pentaho installation you have a directory called samples, where you can find examples on how to use a lot of steps, that you can just execute and edit (better if you work with a copy, not the original sample you might break if you play with it) I use them a lot to refresh my knowledge on how some steps that I don't use frecuently work.
And then there's the Packt Publishing books to learn how to work with PDI, I used the old edition and it was quite good to have a step by step tutorial.
Regards