I actually JUST had to do this myself. Its a pain, especially for newer devices. 
First, you need a locale helper: 
package za.co.overtake.onlinetrucks.utils;
import android.annotation.TargetApi;
import android.content.Context;
import android.content.SharedPreferences;
import android.content.res.Configuration;
import android.content.res.Resources;
import android.os.Build;
import android.preference.PreferenceManager;
import java.util.Locale;
/**
 * This class is used to change your application locale and persist this change for the next time
 * that your app is going to be used.
 * <p/>
 * You can also change the locale of your application on the fly by using the setLocale method.
 * <p/>
 * Created by gunhansancar on 07/10/15.
 */
public class LocaleHelper {
    private static final String SELECTED_LANGUAGE = "Locale.Helper.Selected.Language";
    public static Context onAttach(Context context) {
      String lang = getPersistedData(context, Locale.getDefault().getLanguage());
      return setLocale(context, lang);
    }
    public static Context onAttach(Context context, String defaultLanguage) {
      String lang = getPersistedData(context, defaultLanguage);
      return setLocale(context, lang);
    }
    public static String getLanguage(Context context) {
      return getPersistedData(context, Locale.getDefault().getLanguage());
    }
    public static Context setLocale(Context context, String language) {
      persist(context, language);
      if (Build.VERSION.SDK_INT >= Build.VERSION_CODES.N) {
        return updateResources(context, language);
      }
    return updateResourcesLegacy(context, language);
    }
    private static String getPersistedData(Context context, String defaultLanguage) {
    SharedPreferences preferences = PreferenceManager.getDefaultSharedPreferences(context);
    return preferences.getString(SELECTED_LANGUAGE, defaultLanguage);
}
private static void persist(Context context, String language) {
    SharedPreferences preferences = PreferenceManager.getDefaultSharedPreferences(context);
    SharedPreferences.Editor editor = preferences.edit();
    editor.putString(SELECTED_LANGUAGE, language);
    editor.apply();
}
@TargetApi(Build.VERSION_CODES.N)
private static Context updateResources(Context context, String language) {
    Locale locale = new Locale(language);
    Locale.setDefault(locale);
    Configuration configuration = context.getResources().getConfiguration();
    configuration.setLocale(locale);
    configuration.setLayoutDirection(locale);
    return context.createConfigurationContext(configuration);
}
@SuppressWarnings("deprecation")
private static Context updateResourcesLegacy(Context context, String language)         
{
    Locale locale = new Locale(language);
    Locale.setDefault(locale);
    Resources resources = context.getResources();
    Configuration configuration = resources.getConfiguration();
    configuration.locale = locale;
    if (Build.VERSION.SDK_INT >= Build.VERSION_CODES.JELLY_BEAN_MR1) {
        configuration.setLayoutDirection(locale);
    }
    resources.updateConfiguration(configuration, 
resources.getDisplayMetrics());
    return context;
}
}
This takes care of switching the language as well as using the deprecated or non-deprecated method. 
THEN in each activity, you need to override this method ( I suggest you just make a base activity that each activity extends): 
@Override
protected void attachBaseContext(Context base) {
    super.attachBaseContext(LocaleHelper.onAttach(base));
}
This should take care of MOST cases. However, I use ViewModels, and for some reason when I do getApplication.getResources().getString() it would sometimes return the wrong string. In such a case, I made a Utility method to take care of this issue: 
public static Resources getResources(Context context) {
    return LocaleHelper.onAttach(context).getResources();
}
So now I can use this method instead of the usual getResources().
It's a REAL pain, but it's the only way I could get translations to work on both devices higher than android 8 AND lower than android8. 
I will post the links to some of this in a bit...
EDIT: Also, like previous answers stated, you need to recreate the activity from which you had changed the language. 
Links: https://proandroiddev.com/change-language-programmatically-at-runtime-on-android-5e6bc15c758
https://gunhansancar.com/change-language-programmatically-in-android/