I found out from a review on Amazon that said "Make sure your USB drive is formatted properly to the file system FAT, FAT23, exFAT and that you music is no where but at the root of the USB drive. Also your music file format has to be in .mp3 .wma .flac. wav. in order for the MP3 player to work properly."
I had my thumb drive formatted for my Mac, thus, it didn't work. Hope that helps you. I have my whole music library on my iPhone so I don't see myself using a thumb drive for music streaming. But it's nice that you can though.