The Bernabéu boss told former Italian international Giorgio Chinaglia that he regretted allowing the English midfielder to sign a contract with the MLS side.
In the second half of the current season, Beckham has become a key player in Madrid's sudden turnaround in form and Capello has been very impressed.
"You cannot forget what Beckham has done for Real Madrid this year," Chinaglia told English radio station, talkSPORT. "He's been brilliant, unbelievable.
"I phone Fabio Capello, I speak to him about once a week. He said 'Giorgio, you can't believe this kid, the turnaround around he's done. We made a big mistake with this player'.
"I said 'you all sure did. It's a shame you're going to lose a player like that to the United States and not see him again in Europe'."
Chinaglia became the North American Soccer League's top goalscorer and was a star for the New York Cosmos, so is well placed to state that he thinks Beckham has also made a mistake.
"I think it's too soon for him. This season he's played brilliantly for Real Madrid, especially after Christmas," he said.
"I think Real Madrid are going to win La Liga, he's been recalled for England and, on top of that, the Galaxy team are not a good side. I think it's a shame.
"The pace is slow (in the MLS). Technically they are not good so he's going to have a hard time.
"But if you play against somebody who doesn't know, he's going to hurt you because he doesn't know how to play soccer.
"Unfortunately, that's the bottom line here."