They called for a boycott.
A petition against the film gathered over 20,000 supporters.
Paris Jackson, Michael Jackson's daughter, was asked about the episode and said she was offended by it.
In a statement a Sky spokesperson said that the episode was pulled following concerns expressed by Jackson's immediate family.
“We have taken the decision not to broadcast 'Elizabeth, Michael and Marlon,' a half-hour episode from the Sky Arts Urban Myths series, in light of the concerns expressed by Michael Jackson’s immediate family. We set out to take a light-hearted look at reportedly true events and never intended to cause any offence. Joseph Fiennes fully supports our decision.”