I would think it depends on the context and purpose for which you're citing the title. Take for example the 1988 movie
Mujeres al borde de un ataque de nervios; technically, since the language of the film is Spanish, in discussing this film you would need to refer to its Spanish title also (and adhering to the normal Spanish practice of capitalizing only the first letter of the first word of the title or any proper names), and especially if the language of your discussion is Spanish itself which I'm guessing is the case since you tagged your question "Spanish 4."
But if you were talking about this film in an English-language context, say, a discussion of contemporary world cinema for a film appreciation class at an American college, it's common practice to supply an English translation of the title at least after the first mention, or perhaps even for all subsequent references to it.
Then there's the situation of movies that are fully dubbed into another language and released in other countries under the translated title, as this movie was in the United States as
Women on the Verge of a Nervous Breakdown. Here you'd need to be careful with giving this title since it would suggest you were talking about not the original Spanish film but its English-language version. And sometimes a film is widely known in other countries by its original title even if the entire film is released in a different language; I don't know of an example of a Spanish-language movie like this, but the 1981 German-language film
Das Boot is usually referred to as that and rarely in English-speaking nations as