There's not a lot of difference. Here's one way to think of the difference: What did you do yesterday? I watched a movie.
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Grammar Geek we "go to the movies."When I was growing up (100 years ago), we went "to the show". "to the movies" would have been more appropriate, because there was always a double feature.
01cite10Grammar Geek12cite10A "double feature" is when you see two films/movies at one setting. "Way back when," it used to be common to have news reels or "short" films before the main "feature" (the full-length movie you were going to see), but sometimes you would be able to see two - hence a double feature.12blockquote