Apple TV: Connections through proxy servers are not supported
Apple TV (1st generation), Apple TV (2nd generation)
Apple TV needs a direct connection to the Internet to play content from the iTunes Store, obtain software updates, or view Theatrical Trailers and iTunes Top Movies/TV Shows/Music/Music Videos. If you are unable to connect to the Internet without a proxy, you will not be able to play this content or update the software on Apple TV.
Check with your network administrator or Internet Service Provider (ISP) to find out if you use a proxy server to connect to the Internet.