How can I set up the captions for the video?

There are two menus for the captions. One is for Accessibility, and the other one is for the Channel Videos.

Caption Settings for Accessibility:

On the TV remote, please press the Home button.
Select the Settings-->Device Preferences-->Accessibility-->Caption. On this menu, you could configure the settings of the caption based on your requirements. If you have any other concerns, please feel free to call the TCL hotline for further help.

Captions for Channels

On the TV remote, press the Settings button to enter the TV settings menu.
Select Channels-->Subtitle. On the Subtitle menu, you could turn on/off the captions for the videos, and so on.