Use the TV App on macOS. Just go into the list view and right-click on a movie (or multiple) and then you can download it. I let the TV app do all its own folder/library management. I've just configured the library to be on my external drive instead of my internal drive (you can do this from the TV app preferences).

Note that this doesn't remove the DRM or anything like that. This is simply storing a local copy of the iTunes-protected video on your Mac. But if the movie isn't available to stream anymore or your internet is down, you can use Home Sharing on the AppleTV to connect to your Mac and stream the downloaded version.