It depends whether you are using US or GB English. In US English, if I'm not mistaken, 'TV show' can refer to any kind of televised broadcast. American audiences would call Downton Abbey a show. In British English, 'show' refers only to certain light entertainment programmes, usually those with a presenter (such a 'chat show'), and may involve, for example, comedy sketches and/or musical performances. These are based on 'variety shows' which could be seen at the theatre before the age of television. Other TV programmes - such as dramas, documentaries and so on, are not referred to as 'shows' in British English. Downtown Abbey, for example, is not a show. It's a series, or a drama, or a 'drama series'. If you want to widen the question to include different types of broadcasts, you can say 'program' (US) or 'programme' (GB).

"TV show" is the more natural in US English. "Program" is not incorrect, but saying it would identify you as a non-native speaker.