When intercepting high-speed aircraft, it is necessary to conduct an analysis of the terminal guidance capture region to establish a favorable handover situation between the mid-course guidance and the terminal guidance, thus reducing the pressure on the terminal guidance. This paper conducts an analysis of the capture region for Pure Proportional Navigation (PPN). For the case where the target is non-maneuvering and the overload of the intercepting aircraft is unrestricted, the boundary of the capture region is obtained by deriving the partial derivative relationship of the velocity angles between the missile and the target through the relative relationship between the PPN missile and the target. For the cases where the target is non-maneuvering/maneuvering and the overload of the intercepting aircraft is restricted, the capture region curves are obtained by using the geometric method or the method of backward deduction from the critical miss state. Compared with the commonly used capture regions derived by the inequality method and the Lyapunov method, the method proposed in this paper can cover the entire capture region of pure proportional navigation.