Italian disciplinarian Capello has a reputation for being stern and strict with players and media alike.
Defoe told FATV: "Obviously he is extremely disciplined but the manager is cool, he's got good banter.
"He joins in and is always laughing and stuff. But when we're training, we've got to do it right."
Wright-Phillips added: "There's loads of banter, especially around the dinner table when we're chilling and socialising."
"I didn't expect it to happen so soon," he admitted. "It was a very good surprise, I couldn't have wanted any more than that.
"It was a step getting here and then another giant step to actually get on the pitch and play for the country in such a big tournament."