youtube-dl --write-auto-sub --proxy socks5://127.0.0.1:1080 https://www.youtube.com/watch?v=VideoID
Why use youtube-dl to download instead of using the websites dedicated to downloading youtube video subtitles?
Because there are a lot of viruses on those sites.
If there is no auto subtitle use the paramter --write-sub instead of --write-auto-sub, the command as following:
youtube-dl --write-sub --proxy socks5://127.0.0.1:1080 https://www.youtube.com/watch?v=VideoID