Captains in Middle-earth: Shadow of War are high-ranking enemies and they can be promoted to Grunts if they show exceptional feats, like killing Talion.
Hence, one of your main goals is to defeat Captains. Successful kill-offs will reward you a high-level weapon. In case you are still finding your way to killing this enemy, here is a Shadow of War tutorial to teach you on how to kill Captains:
To say it frankly, there is no uniform or one-size-fits-all formula on how to kill a Captain. Every Captain has its own unique weaknesses, strengths and behaviours. One has to do a thorough research on each Captain before launching an attack. Through the Worms, you will be able to gather needed information about a Captain so you can come up with strategies before taking on them.
Once you are done with your pre-attack intelligence, then you are good to kick-start the mission. Position yourself on a higher ground near a Captain. This gives you the perfect vantage to study the area and see where the world items are located.
Given that you already have the Captain's weaknesses in mind, zero in from there. Their weaknesses range from fire, poison, beast and ranged attacks, among others. If the Captain is weak to fire, you might want to use bows and fire arrows to flare up a fire pit near the Captain or put him on fire. If the Captain is vulnerable to stealth, you can directly lodge an attack from above to keep him at bay. But just make sure to make your way back to a higher ground before his allies get back on you.
Taking down a Captain awards you a high-level gear. In an unfortunate case that you get killed by the Captain, you will have to go through a Vendetta mission to do things over again within a very limited time. This time, killing the Captain becomes harder.