Currently I am using ES File Explorer + MX Player to play audio and video files for this.
Unfortunately it has some problems:
MX Player sees only current playing file, not a directory. So I can't jump to next file from within player. I need to go back to ES Explorer to go to next file.
Sometimes if there is a connection problem, the video just closes and later can be started only from the beginning. In correct software, the video should wait until the source is available again.
Some players are not displayed for certain file types at all. If I force using them, they say
This file type does not support streaming
and then starting to copy entire file to local storage before playing. Correct software should simulate normal directory from SMB shares so that applications could not know that the source is remote.