How to move movies from the new Apple TV app on macbook air to external harddrive

I just bought a new Macbook air and it comes with the new operating system Catalina. With this system I cannot use ITUNES. So I used Apple TV app to buy movies. I want to move these movies to my external hard drive to save space on the computer. When I drag over ,or copy to the external hard drive, Iam not able to replay them form the external hard drive, get the message cannot be read. is there a simple way to do this like I have been doing for years with Itunes?