Have you tried looking in the theater? Look under "Mementos" from the pause menu, then check in "Theater". If you've actually unlocked it, it should be listed last as "Secret Movie". Hope this helps.

Indeed, check the theater. It doesn't show with the credits. It generally will unlock if you have at least 5 trophies with proud and answering of the correct questions.

If this is a transferred game from clear data you would have had it at the beginning of the game.

You also need to get all the gold letters in the credits.

No thats for the secret message, not for the movie

I actually needed to get the Secret Message(which means I needed to collect the letters) to unlock the secret movie for some reason. He said he got the secret message anyway so I don't see how it matters.