Firstly, You should create different page template for each page.
While developing a new WordPress theme just go through wordpress file structure
Also this site will helps you to generate ready made theme file structure.
Now, as per your structure…
1) Movies: that will show the latest added Movies – that will be your page template that will display all the movies stored in the Moives Custom post types.
2) Movie: that will show the specific movie info – that will be a detail page of movies custom post type. Your file name must be single-{post_type }.php; so in your case it should be single-movies.php ( the name you have registered in your custom post type. )
3) Season: that will show the specific season info and links to its episodes ;
Episode: that will show the specific episode info – it will be your movies custom_taxonomy