The US captured one towards the end of the war in Europe, by then quite a few had already been captured by British forces and the decrypting of enigma signals was almost routine. A less well known fact is that the Polish managed to get hold of an Enigma device long before the war began and they handed that to the British after the Invasion of Poland.
For anyone interested in fictional accounts about Enigma and the Intelligence war I recommend 'Cryptonomicon' by Neal Stephenson, it isn't a film, but it should be.
Im currently reading a book called "Churchills Wizards, the art of deception 1914 to 1945. Its all about the development of deception, camoflage all the way through to mis information.. its a good read if your iinterested in that sort of stuff... anyhow, it says that the Polish actually built three 3 wheel enigma machines, gave one to us, one to the french and kept one. With that we could begin to derypt stuff, and the Germans didnt know, however they still developed a 4 wheel version for uboats that made thigns difficult.