Movies are made to entertain people.
The language used in movies is often low intermediate level and often contains poor grammar, idioms and/or slang.
Documentaries often use a higher level of English (maybe upper Intermediate or lower advanced)
Songs use poor grammar and slang (worse than movies)
I do not recommend movies, songs, or even TV shows.
I recommend reading, listening to podcasts, and watching documentaries.
It all depends on your goals. If you want to pass a test, then movies might not be enough. If you want to sound like a native and speak like one, movies are closer to that reality because they do include idioms and slang that people do use in everyday life. Documentaries are fine, but they tend to be much easier since it’s normally mostly narration with little use of idioms and slang.
songs are just literary creations of minimal content and little value in building vocabulary or improving grammar.