The book series you reference is called "Choose Your Own Adventure". It appears the waters are being tested with a movie called "Late Shift"
http://www.latimes.com/entertainment/herocomplex/la-ca-hc-the-player-late-shift-20160501-story.html
Early in the film "Late Shift," <PERSON>, a student on his way to a night job, faces an easily relatable dilemma: help a lost tourist with directions and risk being late to work or ignore the man and hop on a waiting subway train. Here is where you would expect director <PERSON> to show the audience the outcome of <PERSON>'s decision as the story unfolds.
<PERSON>'s choice, however, is up to you, the viewer. In fact, you control every major plot turn in the film. 295
"Late Shift," created by CtrlMovie, a small studio in Switzerland, and written by <PERSON> and <PERSON>, best known for <PERSON> "Sherlock Holmes," may be the world's first fully realized choose-your-own-adventure film.
As the article states, this turns the movie into a game, and that type of interaction may limit the scope of its audience.
Apparently, Netflix has recently attempted this as well:
http://www.ign.com/articles/2017/06/23/netflix-introduces-choose-your-own-adventure-style-movies
From the article:
Netflix is introducing interactive movies that allow viewers to dictate how the narrative unfolds.
The first of these "narrative episodes" is called Puss in Book: Trapped in an Epic Tale. This interactive video, which serves as a standalone episode separate from The Adventures of Puss in Boots TV series, is available on the streaming service right now.
GQ thinks they may become more commonplace in the near future:
https://www.gq.com/story/are-choose-your-own-adventure-movies-finally-about-to-become-a-thing
However, as the GQ article points out, this has been attempted as far back as 1961:
Take B-movie legend <PERSON>, who built his career on low-budget horror movies propped up by goofy gimmicks. His 1961 gothic thriller Mr. Sardonicus turned the movie theater into a gladiatorial arena, inviting audiences to raise glow-in-the-dark cards with either a "thumbs up" or a "thumbs down" to determine whether the ending would punish <PERSON> or show mercy for his misdeeds over the course of the movie. According to <PERSON>, audiences almost always voted for <PERSON> to be punished. 378