"For the Mujahideen (holy warriors) the scale of victory or defeat is not dependant on a city or town being stolen or subject to that who has aerial superiority, intercontinental missiles or smart bombs," Baghdadi said in a recording posted on his al-Furqan media group.
Reuters was unable to verify whether the voice on the recording was Baghdadi's.
Islamic State, which until last year controlled large areas in Syria and Iraq, has since been driven into the desert following successive defeats in separate offensives in both countries.
Baghdadi, who declared himself ruler of all Muslims in 2014 after capturing Iraq's main northern city Mosul, is now believed to be hiding in the Iraqi-Syrian border region after losing all the cities and towns of his self-proclaimed caliphate.
The secretive Islamic State leader has frequently been reported killed or wounded since leading his fighters on a sweep through northern Iraq. His whereabouts are not known but Wednesday's message appears to suggest he is still alive.
One of his sons was reported to have been killed in the city of Homs in Syria, the group's news channel reported earlier this year.
Baghdadi's last message came in the form of an undated 46-minute audio recording, released via the al-Furqan organisation in September, where he urged followers across the world to wage attacks against the West and to keep fighting in Iraq, Syria and elsewhere.