Apple TV doesn’t haveVPN client inside.
I setup a dd-wrt router and connect Free Version of VPN or Paid https://www.boxpn.com VPN service with it. So all my devices as well as my apple tv gets boxpn access and I’m able to watch US based services like Netflix and Hulu on my AppleTV in Europe.
It’s not very simple but here is the steps:
1. Visit www.dd-wrt.com ROUTER DATABASE and find a router supports dd-wrt.
2. Buy the router and flash it with the dd-wrt firmware provided on the dd-wrt site.
3. Connect your dd-wrt router internet port to your modem lan port.
4. Find free VPN service to help out or
5. Buy boxpn VPN Account from this link https://www.boxpn.com.
6. Contact with the boxpn vpn support and ask for dd-wrt setup instructions.
7. Apply the instructions provided to you on your router.
Now, your router will connect to VPN network and your Apple TV also get VPN access when it’s connected to your new dd-wrt router.