Welcome to the Apple Community.
I assume it's an Apple TV 1. If it's set up correctly purchases should transfer automatically to your iTunes library. If they don't transfer when you ctrl-click on the device in iTunes and choose transfer (pre iTunes 11) or File > devices > transfer (iTunes 11) , you might try setting up the Apple TV again.
Navigate to Settings > Computers > Your Library on the Apple TV, you may be told you will lose all synced content, but you can sync it back afterwards, you won't lose any purchased content that has yet to be transferred. Then select Settings > Computers > Connect To iTunes, note the passcode that appears on screen, click on the device in iTunes and enter the passcode when prompted.