You need to use a good container format like mkv for your files. To make mkv files with a whole lot of video, audio, subtitle, thumbnail etc. tracks, use something like MKVToolNix. If you want TS files use something like tsMuxeR to add your tracks. All these tools are available cross platform on desktop.
If you don't want to embed the subtitle files like shown in the image then you can use an Android player like MX Player and keep your sub files named properly with language iso codes in the same folder as the media file and the player subtitle menu will still list it.
That depends on the app you are using