What app are you using as a media player? Both MX Player and VLC work well in this regard, either will just play a file and then just start another as long as they're all in the same folder. Or if you make up a playlist that can span over multiple directories. (I tend to like the user interface more for MX Player but lately it's gotten really obtrusive with ads. There's the pay-for version that has no ads, or go with VLC which is ad-free regardless.)