While watching a show:

Turn captions ON:

1. Select the Caption icon in the lower right-hand corner. See example of the Caption icon: 
2. Select the language you prefer

To turn them OFF:

1. Select the Caption icon again
2. Select "OFF"

From the Home Screen:

Turn captions ON:

1. Select the "Settings & Help" menu by clicking on the 3 Horizontal Line icon in the left-hand corner
2. Move the slider for "Closed Captions for All Video" to the ON position