There are two problems with fish oil capsules. First, the fish oil in them is usually rancid. All of the omega 3 benefit is lost and the rancid oil is actually a source of free radicals, making it very unhealthy for you. Second, all oily fish have some level of mercury and PCBs. Cheaper fish oil capsules are not made from sardines or anchovies, which have the lowest levels of mercury and PCBs.
Check this out:
Is Your Fish Oil Rancid? What you need to know. | Paleo Simplified Energy Bar - Paleo Diet