The actor got caught in a co-star's period costume while filming his new BBC drama The Musketeers.
Capaldi - who started filming his first Dr Who yesterday - had to twist the digit back into place himself leaving him weak at the knees with the pain.
He plays Cardinal Richelieu, the first minister and confidant of the French King in the new BBC1 series, which begins later this month.
Capaldi said the shooting of the sword-wielding adventure series was beset by injuries: "Dislocated shoulders, bruised shins, the odd concussion. It's an occupational hazards of being a swashbuckler.
"I suffered a nasty dislocated thumb, but embarrassingly not from swinging a sword. Instead, my injury came from a domestic the cardinal was having with mi'lady, Maimie McCoy."