Yep they do. I'm taking Walgreens house brand and they are in caps, But the Tylenol brand also comes in capsules, at least for the extended release and extra strength version. (Had knee replacement surgery 29 June, stopped taking anything but Tylenol about 2 weeks later. Still take it, but generally only 3 times a day, rather than 4. That will change, as I'm having the other knee replaced next Tuesday, 24 Aug.
Good Luck!