Well this will be a very long dicussion, if i discuss or explain the setup for windows and for mac. However now i am going to explain a setup vpn with xbox in windows.
1st ensure you have installed PIA VPN and running on your Windows device.
1. Connect your Xbox 360 and Xbox One to your computer using a crossover cable.
2. Click the "Windows" menu at the bottom left of the screen.
3. In the menu list, click Control Panel.
4. When the Control Panel window opens, click the "Center Network and Sharing" button.
5. Click the adapter "Edit Settings" on the left side of the screen.
6. Click on the icon labeled "PIA VPN" and then select the "Properties" option.
7. After the Properties window appears open tab called "Sharing".
8. Now check the "Allow other network users to connect through this computer's Internet."
9. Click the option labeled "Home Network". A drop-down menu available Internet connection is displayed, and possibly a compound called "Xbox". Select Xbox (if available) and, if not available, then click on the links you want to share with the console.
10. Click the "OK" button.
11. Now connect your computer to PIA VPN Windows application to the desired PIA VPN server.
12. In the Xbox 360 controller and Xbox One, click the "live" to enter the menu.
13. Now click the "Settings" tab and select "System Settings".
14. In the "System Settings Tab", select "Network Settings".
15. In the "Network Settings" page, select "Wired LAN".
16. Now, take all your settings and continue to "Test Connection".
17. After all this is connected, simply log into your account and Xbox One Xbox 360. And you're done!
The above mentioned guide is only for windows and for the detail guide about xbox vpn setup on mac, I will suggest you to contact Xbox support team.
For Xbox support: http://www.xbox.com/en-US/ (Home > Xbox > xbox ambassadors Chat )