MKV's work, but there are limitations. You can't select what audio track to play, it just uses whatever default track there is. Secondly there is a somewhat limited codec support. Many higher quality MKV's you find in less legal places of the interwebs use AC3 (Dolby) or DTS (or their HD variants) audio codecs which aren't supported. As far as I know it'll only play files with audio in MP3 or AAC, and I'm not sure about multi-channel AAC. Subtitles won't work either. And then some MKV files just randomly refuse to play, but I haven't identified what causes that problem.
There are two solutions:
Either just play everything with MX Player, with the HW or HW+ decoders you still have full hardware support and the benefits of Bravia Engine combined with full support for pretty much all audio codecs, multiple audio tracks and multiple subtitle tracks.
The other solution is to use software to remove unused audio tracks from your MKV's and if necessary recode your preferred audio track to stereo AAC. By far the best software to do that is
Avidemux. It allows you to delete and recode streams without affecting other streams. Basically that means you can remove audio tracks you don't need and recode the one you want without having to recode the video, which is extremely fast and with recent CPU's only limited by the disk read/write speed.