Download movies on Apple TV

Possibly, however without knowing the source of where you want to download the movies from we cannot answer. If for example you have a HBO, Showtime, Netflix etc.... subscription then sure you can do that. In those cases you don't actually download them, you stream them over the Internet to the AppleTV. The AppleTV is not a PVR that records content, it is an Internet device that allows you to get content from a wide variety of sources including your own iTunes library.