Yeah good economics film films aren’t easy to come by.
Check out: Documentaries with an Austrian touch.
I don’t know of any feature length that focus on the Great Depression, but here’s a good playlist.
Other video resources can be found in the Guides and Knowledge thread, and a full list is found in the Ultimate meta thread.
Obviously Lessons for the Young Economist (and the teacher’s manual) offer a great text resource. Other good supplements are Murphy’s other books:
The Politically Incorrect Guide to the Great Depression and the New Deal,