Help getting started with Roku devices, including setup, connecting your device to your TV, linking a Roku device to your account at my.roku.com/link, adding channels, subscribing to services, and more.
It depends on the channel and the material. For many channels, you can hit the asterisk (*) key and change captioning options. For some, it depends on the interface. For Netflix, you hit up-arrow twice to highlight the very top, then hit OK for various options.
For some movies/shows, the captions may be part of the video itself and not a closed captioning overlay.