Confusion about the choice of axis for Molecular Orbital Theory
Although we could not see what is written in OP's "reference books", the mentioned difference most likely is the result of different choices for the bond axis. 

Conventionally, and as it is (implicitly?) done in the MIT video lecture, it is chosen to be the $z$-axis, in which case $\pi$ bonds are indeed formed from $\mathrm{p}_x$ and $\mathrm{p}_y$ orbitals while $\mathrm{p}_z$ can take part in $\sigma$-bonding. If, however, the bond axis is chosen to be the $x$-axis, then $\pi$ bonds are formed from $\mathrm{p}_y$ and $\mathrm{p}_z$ orbitals while $\mathrm{p}_x$ takes part in $\sigma$-bonding.