Something that helped my kids when we first started Shakespeare was having something to manipulate (little Lego figures, dolls, stick figures, etc) to help them track the story. We would read Nesbit’s Beautiful Stories from Shakespeare the first week to get familiar with the names and places. The next week we listened to the Lamb’s Tales from Shakespeare because those are usually a bit longer and have more detail. Then we listened to the play (or read it aloud ourselves). The Arkangel productions are really fabulous. We can hear the play as a story with them because it is so well done. No weird or halting reading/voices, etc. We followed along as they read. Then we watched movies of the actual play – not adaptations. It worked.
As my kids got older and more familiar with Shakespeare, we didn’t need the manipulative figures anymore.