I tried it and I couldn't get it to come up on the screen. I checked the blu-ray manual just to make sure I wasn't missing anything and I don't see anything for Closed caption on the player. I did turn on the CC on my tv and that is where I didn't get anything to come up. I have this hooked up to a Panasonic TV model TH-42PZ85U. I hope this helps...Good Luck
Some TVs (and my Panasonic wide screen) don't support closed captions through the HDMI interface to a cable box. I've gotten closed captions from Netflix programs through the blu-ray player, check the options menu both from the source provider, player, and on your TV. I don't have this unit installed any longer so I can't go through the menus for you.