It sounds like you purchased a season pass but do not see the episodes available for download in your history. I would start by restarting the device:
Apple TV: How to restart your Apple TV
If the issue persists you can report a problem to the iTunes Store support directly with this article:
How to report an issue with your iTunes Store, App Store, Mac App Store, or iBooks Store purchase
To report an issue with your iTunes Store, App Store, Mac App Store, or iBooks Store purchase, follow these steps:
- Find the email receipt for your purchase.
- Click Report a Problem under the app that is having the issue.
- When prompted, enter the Apple ID and password you used to purchase the item, then click Report a Problem.
- Click Report a Problem next to the item you are having an issue with.
- From the Choose Problem dropdown menu, choose the appropriate issue.
- Follow the onscreen instructions and—if prompted—type a description of the problem into the text field.
- Click Submit to have your issue reviewed.
You can also verify you are signed in with the same account in the Apple TV settings.
Thank you for using Apple Support Communities.