The capsule covering is made up of:

The shell (covering) of a pharmaceutical capsule is made up of gelatin, which is a protein obtained from the collagen of animal connective tissue, bones and skin. Gelatin forms a strong, flexible, water-soluble film that dissolves in the stomach to release the medicine inside. Hence, the capsule covering is made up of protein. (Eggshell is mainly calcium carbonate, while cellulose and starch are plant carbohydrates used only in some special vegetarian or modified shells, not the standard capsule covering.)