How are you transferring the movie? Are you on KitKat? If you are, remember that apps have 'lost' full SD Card accessibility in KitKat and can now only write (or move files) in folders they have created. Only the built-in File Manager has full SD Card access now.
But if you're using a computer, then just copy the files and that's it. It's up to the app you're using on your phone to watch the movie if it supports reading from the SD Card.