Walcott lifted the lid on the tense atmosphere in his new book, 'Theo: Growing up fast', which is being serialised in The Sun.
"We headed out to a training camp in the Austrian Alps before we left for South Africa. Something happened out there that shook my confidence. It was the second day, and I made a run inside from my position out wide on the right.
"Suddenly Mr Capello started screaming at me at the top of his voice. Training stopped and everyone stared at their feet and looked embarrassed.
"'Theo,' he was yelling, 'I will kill you if you come inside like that again!' Despite Mr Capello's outburst, I never quite knew what was required of me. I was confused.
"I had been injured so much that season that my confidence was fragile, but no one ever helped me.
"If you are the boss, surely you want everyone playing well and you want to encourage everyone. It killed me and I felt it wasn't fair.
"Mr Capello was due to name his final 23-man squad. I felt 100 per cent sure I would be going. You want to know how sure I was that I was going? Well, I'd packed my bag.
"On the day the squad was announced, I went to Brocket Hall, the country hotel near my home in Hertfordshire, for a last round of golf before going to South Africa.
"I was on the fairway on the fourth hole when Mr Capello rang me on my mobile. He was short and to the point. He said he was sorry but I hadn't made the squad and I wouldn't be going to the World Cup.
"I was stunned. I had a bit of a cry. I respected Mr Capello's decision but I went through a whole mix of emotions in just a few days - I was numb, shocked, upset, angry, confused. "