I'm Indian, and am unaware of any shows relating to the Vedas. However, you may be confusing stories about the Hindu epics of the Ramayana and Mahabharata as being related to the Vedas. So let me write a small primer on the basics of Hinduism.

The Vedas are a set of four books, namely the Rgveda, Yajurveda, Atharvaveda and Samaveda, dealing with various aspects of mundane and spiritual life. They were composed over a huge time period, with the oldest parts of the Rgveda being composed around 1,500 to 1,800 BCE and some sections dating back to as recently as 500 BCE or so. Keep in mind that, since the passing down of the Vedas was an oral tradition, these dates are not quantifiable. Even the oldest parts of the Rgveda may have undergone development from before that. The reason was that the very sounds of the Vedas were held to be holy, and so only a guru trained in the scripture could properly teach it to pupils.

So what's in the Vedas? They consist of sections that are broken down into:

i) Samhitas: Consisting of mantras to deities like Indra and Agni, which would have been recited over sacrificial fires.

ii) Brahamanas: Which explain the significance of the actions in each ritual and act as a commentary on the Samhitas.

iii) Aranyakas: Sometimes considered part of the Brahmanas, which have diverse commentaries and theories regarding the rituals.

iv) Mukhya Upanishads: The Upanishads are a section of Sanskrit literature involving stories, commentaries and instructions regarding philosophy. They are a tradition in their own right, but the first few are considered to be connected to the Vedas.

The Vedic deities were mainly elemental, with Indra, god of storms, Agni, god of fire, and Soma, the god of the moon and a ritualistic drink being the most important.

As the spread of the Vedic religion grew wider, more and more local traditions formed. These gave rise to a new body of literature called the Puranas. There are dozens of Puranas, which hold many stories about mythology and philosophy. Each Purana was composed over a long time, containing distinct writing styles. The Puranic stories are those which gave rise to the Hindu pantheon as we know it today, with many popular stories coming from here. They also established a sacred geography throughout the subcontinent, where various real-world places were associated with the divine. Most important Hindu pilgrimage sites, from Vaishno Devi in Jammu to Ramanathaswamy in Rameshwaram, owe their importance to the Puranas. So, gods like Vishnu, Shiva or Lakshmi arose in these texts. Besides, several stories in Indian popular culture are based off the deeds of the gods as narrated here.

The other category of texts that have been televised are the epics, chiefly the Ramayana and Mahabharata. Like the Vedas, these were also an oral tradition passed down by word of mouth. However, unlike the Vedas, this was a more bardic tradition, and was thus subject to changes as it went from one generation to another, until being written down in the late centuries BC. These texts also contain several of the popular folk-stories about gods which have been adapted for television among other things.

In conclusion, the Vedas have not been treated at all by the big screen in India, and the popular Hindu stories are from the Puranic or epic traditions, which are distinct bodies of literature.