Born in Brighton, Sussex, England, Capel was the son of Arthur Joseph Capel, a British shipping merchant, and his French-born wife, the former Berthe Andrée A. E. Lorin (1856-1902). He had three sisters: Marie Henriette Teresia Capel; Mary Josephine Lawrence Edith Capel; and Berthe Isabelle Susanna Flora Capel (married Sir Herman Alfred de Stern, Baron Michelham).