Yes, it’s quite common. two solutions:
1 use a ftp uploader like filezilla and use url links to your files instead of the media library.
2 in the file .htaccess next to wp-includes and wp-content etc, add this to the top of the file:
php_value upload_max_filesize 10M
your hosting provider also has a say in this and can still block bigger sizes, consult them if this happens.
Good luck!
Making a php.ini file will also work with some hosts
1) paste the following into a text editor:
upload_max_filesize = 8M
post_max_size = 8M
max_execution_time = 12000
memory_limit = 8M
2) save it as php.ini (or rename the file after saving).
3) Upload it to the wp-admin folder on the server.
Then can try increasing the numbers if it works.