Just bought a Mi Box from Wal-Mart the other day and went through the setup. Downloaded the Android TV remote control app from the play store. The app finds my Mi Box over Wi-Fi just fine, but when I try to connect it acts like it's trying to connect for a split second then goes back to the screen showing available devices. I've tried reinstalling, using a different phone, using 5GHz Wi-Fi, I don't know what else to try. I can connect to my Xbox one fine with the smartglass app so I know Wi-Fi based remotes work over my Wi-Fi... Is there something I can do to the Mi Box to get it working?
Maybe it's the software of the Mi box that is causing the problem. Try updating the box itself or maybe look for a third party app to see if the app you're using is the problem?