The rapid growth of short videos has necessitated effective recommender systems to match users with content tailored to their evolving preferences. Current video recommendation models primarily treat each video as a whole, overlooking the dynamic nature of user preferences with specific video segments. In contrast, our research focuses on segment-level user interest modeling, which is crucial for understanding how users' preferences evolve during video browsing. To capture users' dynamic segment interests, we propose an innovative model that integrates a hybrid representation module, a multi-modal user-video encoder, and a segment interest decoder. Our model addresses the challenges of capturing dynamic interest patterns, missing segment-level labels, and fusing different modalities, achieving precise segment-level interest prediction. We present two downstream tasks to evaluate the effectiveness of our segment interest modeling approach: video-skip prediction and short video recommendation. Our experiments on real-world short video datasets with diverse modalities show promising results on both tasks. It demonstrates that segment-level interest modeling brings a deep understanding of user engagement and enhances video recommendations. We also release a unique dataset that includes segment-level video data and diverse user behaviors, enabling further research in segment-level interest modeling. This work pioneers a novel perspective on understanding user segment-level preference, offering the potential for more personalized and engaging short video experiences.