A 2016 British study led to a controversial finding. Three groups of native Spanish speakers, who were trying to learn English, watched a movie in English. Some watched it with English subtitles, some with no subtitles, and some with Spanish subtitles.
What the scientists found was that the subjects who watched with subtitles in their own language learned the least... about English.
Why do I specify "about English"? Because, of course, that same group had the greatest comprehension of the movie itself. They understood the plot, the characters, etc.
But that's not really the point, is it?
I actually have my own method that allows me to have my cake and eat it too. First, I watch the movie in a language I'm studying (say, Spanish) with English subtitles. That allows me to relax and have a good time, without feeling like I'm missing out. I get the plot, I understand the characters, and if the movie is good, I usually even remember a few lines of translated dialog.
Then I go back and watch the movie again, this time with either no subtitles, or subtitles in the target language. Keeping the general story in my head for context, I concentrate on what I'm hearing. Once in a while, something clicks.
This is not a fast process (and it's not my only process). But it is faster than the process of learning a language as a baby, during which time you don't even have that first subtitled viewing, or your understanding of context, to fall back on.