In 1918, Capel married the Honourable Diana Wyndham, née Lister (born 7 May 1893—died 1983), a daughter of Lord Ribblesdale and widow of Captain Percy Lyulph Wyndham (killed in action, 1914), who was the half-brother of Hugh Grosvenor, 2nd Duke of Westminster. Diana's elder sister Laura was married to Lord Lovat, and another sister to Sir Mathew Wilson, 4th Baronet: after Capel's death, in 1923 Diana married Vere Fane, 14th Earl of Westmorland.