Translation from .mo file not working in theme

Start a new theme from scratch to see if you have the same result. I test with theses files and the translation works

style.css

/*
Theme Name: My Theme
*/

functions.php

<?php

add_action( 'after_setup_theme', 'my_theme_load_theme_textdomain' );

function my_theme_load_theme_textdomain() {

    load_theme_textdomain( 'my-theme', get_template_directory() . '/languages' );

}

languages/es_ES.po (file languages/es_ES.mo created with poedit)

msgid "Featured"
msgstr "Destacados"

index.php

<?php

_e( 'Featured', 'my-theme' );