Not a tv show per se, but I stumbled on "Lovecraft: Fear of the Unknown" on Amazon Prime.
Robin Atkin Downes narrating an examination of H.P. Lovecrafts life and writing, with a lot of support from a group such as Neil Gaiman, Peter Straub, Guillermo del Toro, Stuart Gordon, Caitlin Kiernan, John Carpenter and a few others.
Nothing too in-depth if you already know your Lovecraft, and possibly too shallow if you know nothing it sort of hits a middle line of exploring / explaining individual works, but it has the benefits of interesting people talking about something that interests them.