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I want to use my personal VPN thru my macbook pro for my apple TV. I do not have a VPN router.

The problem you face is forcing the AppleTV to use the VPN tunnel as there is no client side VPN service on it like your MacBook Pro. Basically, your MacBook Pro VPN service is an end node client so it doesn’t really allow tethered connections to leverage the VPN tunnel. I think you’ve already discovered that. If not, go into Prefs > Sharing enable ‘Internet Sharing’ Then enable Share your connection from: Ethernet To Computers using: WiFi