Earlier quoted context omitted.
I'm doing the opposite. I'm trying to learn Spanish so I'm currently rewatching Game of Thrones in Spanish, with English subtitles (delayed by 2 seconds). I first try to understand what's being said and if I don't then I glance down for assistance.
The subtitle delay is clever, I'll have to remember that. Although personally I would probably use subtitles in the target language (and use a dictionary if there's something I don't understand).
If you're learning how to read/write the language subtitles in that language seems like a great option. If you're starting out, it helps a lot to hear the language.