The analysis of social exclusion, from the capability approach, has been scarce and there is no methodology to measure it comprehensively. Therefore, the aim of this paper was to design an integral methodology to measure social exclusion from the capability approach, both for its constitutive and instrumental forms. The statistical tool for measuring the indirect effects of social exclusion was based on structural equation modelling. This methodology was applied in the Region of Murcia, in Spain, where 2482 questionnaires were administered to private households. The study showed that the theorised model is not false in statistical terms and presented a very good fit. As a result, constitutive social exclusion affected 24.95% of the population in the Region of Murcia. Furthermore, the results explain 31.45% of the deprivation suffered by the population of Murcia. The methodology designed would be a useful tool for assessing the effectiveness of public policies aimed at eradicating poverty and social exclusion.