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Does my Apple TV have to constantly be connected with the Ethernet or is there a way I can work around it like my maybe airport express?
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Get help with Wi-Fi networks on your Apple TV - Apple Support
On Apple TV (2nd or 3rd generation), go to Settings﹥General﹥Network﹥. Choose the name of a compatible Wi-Fi home network to join. If asked, enter your Wi-Fi password.
Apple TV can't connect to captive networks, which are networks that require an additional or secondary login. Captive networks can include free and pay networks in places like businesses, schools, dorms, apartments, hotels, and stores.