World Cup 2010 - Walcott wept at England omission
Walcott had been expected to be at the forefront of Capello's plans to win a first world title since 1966.
Walcott was playing golf with a friend and his cousin when Capello gave the 21-year-old the bad news, a moment which he rates as the biggest disappointment of his career to date.
"I had the day off so I was on the golf course and I got the phone call," Walcott told Arsenal's official website. "He just said, 'I'm sorry. I'm not going to bring you to South Africa, but I'll see you in 2012 for the Euros'.
"I didn't know what to say at all. He said, 'have a good break and good luck. I'll see you soon'. I wished him all the best. There are always disappointments in football, this was my biggest one yet. Actually, I did have a tear to be fair with my cousin and my mate."