We report on a chemical vapor deposition synthesis of graphene capsules (GCs) in sizes of tens to thousands of nanometers and their oil adsorption performance. MgO particles with different particle sizes are used as templates to produce GCs with different sizes. At a larger GC size and higher pore volume, a higher oil capacity is obtained. The highest oil adsorption capacity achieved by the GCs is 156 gdiesel gGC-1, which is much higher than that obtained by expanded graphite. The adsorption capacity proportionally increases as the viscosity of the fluid increases. Both the capsule structure and the viscosity of oil are relative to the adsorption capacity, showing that capillary adsorption with a limited entrance might have contributed to the high capacity oil adsorption by GCs.