The correct definition for this table is as follows:
CREATE TABLE user_movies (
user_id INT NOT NULL,
movie_id INT NOT NULL,
PRIMARY KEY (user_id, movie_id),
FOREIGN KEY (user_id) REFERENCES users(user_id),
FOREIGN KEY (movie_id) REFERENCES movies(movie_id)
) ENGINE=InnoDb;
Note that the "primary key" is a constraint, not a column. It is best to have a primary key constraint in each table. Do not confuse the primary key constraint with an automatically generated pseudo-column.
MySQL . , .