you need to be more precise about what image we are speaking of with eventually a link to the page with the image.
The caption is something you create in the media library where you can edit the image
Then when you insert the image in your content, the caption will show up.
For the featured image, I don’t think the Theme has an option to add the Caption, @weaver may correct me if I am wrong.
If so, I think there are plugins that can add the caption to featured images.