Yes, some very self-conscious footage was taken at Balmoral during Alix and Nicky's visit to Queen Victoria; it's the kind of thing where the photographer obviously said, "Okay everyone, move around because this is a moving picture!" The figures are in the distance, but you can obviously pick out Queen Victoria, sitting in her carriage, as well as Alix in her very proper Victorian lady suit, and various and assorted other relatives.
According to Penny Wilson, elsewhere on this forum, a tremendous amount of film footage exists at the Hoover Institute.
You'll see much of the same footage used in most of the documentaries re: the Romanovs, but every now and then something different will be used.