As requested by @DarremMolko:

In MX Player if you stream a video from a direct link (for example https://website.com/video.mkv) and if you have subtitles in the same path that matches the name (http://website.com/video.srt) it loads them automatically.

Ideally, it should attempt to load language specific subtitles as well: video.en.srt, video.eng.srt etc. Plus all the supported file formats (.srt, .ssa, .vtt etc.)