The Challenge: Consoles Don't Run VPN Apps
Xbox and PlayStation do not support native VPN apps from the app store (unlike Android TV or FireOS). To use a VPN with a gaming console, you have two options: the router method (configure the VPN on your router so all traffic including console traffic routes through it) or the shared connection method (connect your PC or laptop to a VPN, then share that VPN connection to your console via an Ethernet cable or WiFi hotspot).
Router Method
Set up a VPN client directly on your router. All devices connected to the router, including your console, will then use the VPN. This is the cleanest method but requires a VPN-compatible router (Asus RT-series with Merlin firmware, DD-WRT or OpenWrt compatible routers, or a pre-configured VPN router from ExpressVPN or Aircove). WireGuard on a compatible router adds minimal latency and is the recommended protocol for gaming.
Shared Connection Method
On Windows: go to Settings > Network > Mobile hotspot, or use the Internet Connection Sharing feature in adapter settings. Connect your PC to the VPN, then share the VPN connection. On Mac: go to System Settings > Sharing > Internet Sharing. Share the VPN connection from your Mac's VPN network adapter to your console. This method works without a new router but ties your console's connection to your PC being on.
What a VPN Actually Helps With on Consoles
Accessing games, DLC, or subscriptions priced differently in other regions: some games are cheaper in certain regional PS Store or Xbox Store locations. A VPN can give you a server IP in that region to access those prices (though Microsoft and Sony's ToS prohibit this). Early access to game releases: some games release earlier in New Zealand or Japan due to timezone -- connect to a VPN server there. Protection from DDoS attacks in competitive multiplayer: hiding your real IP prevents targeted DDoS. Unblocking streaming apps if console apps are geo-restricted (e.g. BBC iPlayer on console).
What a VPN Won't Help With
Reducing ping in games: a VPN almost always increases ping for gaming because it adds an extra network hop. If your ping is 20ms to a game server, it will be 30-60ms through a VPN. There is no magic VPN that reduces ping unless your ISP is specifically throttling gaming traffic. Bypassing console bans: console bans are tied to console ID (not IP), so a VPN does not help.