Embedding VS Hosting - Which is better from SEO pov?

For a image/video collection site, what would be better - hosting media on the website or uploading it on some third party and embed it on the website?

P.s. this is an adult site I am talking about hence sites like youtube, Imgur and vimeo won't be considered as hosting in this case

It will be better to host images on your own hosting server if you can afford it.