Music videos are available in the Apple Music app, not the Apple TV app, for subscribers to the Apple Music streaming service. You may need to download/install that app, if it isn’t pre-installed. The Apple Music app is for music related content accessible online through your Apple ID account. This includes Apple Music subscription, iTunes Match subscription and iTunes Store music purchases.
Downloaded content on Mac or PC is not available on your smart TV. ‘Home Sharing’ requires the Apple TV box.
Downloaded content on iPad or iPhone is not available on your smart TV, but you can use AirPlay to stream from mobile to the TV.