• From the main screen, click Settings.
  • Click General.
  • Click Accessibility.
  • Click Closed ¬†Captions + SDH.
  • Press Select on your¬†Apple Remote to turn on closed captions and subtitles.

Still experiencing issues?
If you still are not able to turn captions on, hold down the select button (the round button on the remote) for a few seconds while you're watching a video and this will bring up a menu for captions. Turn captions to "English" (and not "Auto"). This will turn captions on when you return to the video. This has to be repeated for every video.