This usually happens if the file uses AC3 or DTS audio which some phones don't support. Download the "AIO Codec" for MX Player or simply switch to VLC.
In VLC, tap the icon while playing to see if English or Bengali subtitles are available to toggle on.
Telegram downloads sometimes fail if your connection drops. Try clearing your Telegram cache and restarting the download.
Since the title you provided refers to a specific file from a Telegram group, 1. File Details & Verification