This problem is always caused by the sound system used, if the player is connected to the sound system via digital (HDMI/SPDIF) it's more likely to generate a delay/latency to your voice than via analog (RCA line-out). This is caused by digital sound processing in the sound system i.e. soundbars and home theaters. To get the least amount of delay/latency, you should connect the player via analog (RCA) because the analog signal is less processed compared to the digital signal, thus lessening the delay/latency.
Delay can also be minimized by disabling all surround sound and sound enhancement features from the playback system.
If the player is connected to the sound system via optical (SPDIF) or HDMI, check that in the players sound settings you've selected these modes:
AUDIO OUT = SPDIF/PCM, HDMI AUDIO = PCM