I'm kind of disappointed with my brand new ROKU Ultra. I bought it for the sole purpose of having a USB input. Let's hops it can handle a 4TB external HDD (working on that next).
I have MKV video files, and yes I have read the CODEC specs for ROKU to play those files, and many other formats. I somewhat knew this ahead of time.
My 20 dollar Chinese media player plays everything under the sun, including all types and individual versions of each MKV, WMV, AVI, MOV, MP4, etc... Surely you would think that giant ROKU ULTRA could have the hardware and software to play all of those and more.
Hopefully there is a firmware update for this device to make this better, otherwise I am going to have to rip all my MKV files to MP4 or download them from somewhere.
MKV is a container, and it's the one container that can hold almost any codec. So to troubleshoot, I'd need to know what codecs are within your containers. Roku devices have limited codec support, so my guess is yours have an unsupported codec. Yes, many inexpensive Android devices have a more extensive codec and container support. It is a limitation of Roku devices, but you must remember that Roku devices were primarily designed for Internet streaming, which they do quite well. Local media support is something that was only added about 5-6 years ago. Some codecs and containers require a license to support them, and Roku might not want to pay the license charge for something that the majority of users have no need for.
There's really no need to re-rip or modify your existing media. If they are using an unsupported codec, the simplest way to play them is using a media server. The server will transcode any unsupported media into a supported stream. One excellent product is Plex, which has its own Roku channel with a great user interface. I'm partial to Serviio, which is a general DLNA server that has a number of custom profiles for Roku devices. I happen to be the author of those profiles, and can provide assistance if you have issues.
There is a disadvantage to a media server of course, and that's the requirement to have a computer running on the network at all times.
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So I have a problem as well. I have 100's of movies in .mp4 format on properly formatted USB stick. It played them just fine on version 10.00 and earlier, but 10.5 and 11.00 have issues. 11.00.00 plays them but they are choppy, its like watching a very subtle stutter through the whole movie. I tried all audio and video settings to see if any had an effect. Then came online to find I am not alone. I have also read of people having hard drive issues as well. I feel that after spending hours of time and holding out for 2 firmwares to fail that we have been Misled as to what the Ultra can do. My laptop, smart tv, and 3 different desktop systems all play them fine. I even tried different drives with different partitions. Roku knows they have an issue as they allowed people to roll back from 10.5 as it mustr have been a total failure. But the rollback option is not available from version 11.00 SO I TOSSED MINE IN THE TRASH WHERE IT BELONGS. Good Luck to you Sir !