In the first day when you get captured you can take your things from the chest which spawns in 1-2-3-4 places (depends on location) but some things can disappear and the next day all your things may disappear - yes... at all... therefore you need to move quickly or you will be left without any your belongings (It's especially sad if you had a horse with a lot of money because the horse will be gone on the first day of capturing)