That's a fair assessment. The most common (in fact, I think the only) way an orbital capture can occur is if there is a third body involved to absorb the excess kinetic energy. It's easier to visualize if you consider the case where the bodies have highly dissimilar masses, so one is essentially stationary and the other does all the falling. If a very small object approaches a massive one, the potential energy lost by the infalling object is converted entirely into kinetic energy. The sum energy total is always the same. Unless there is a collision, no capture can occur because the incoming body cannot shed excess kinetic energy. However, a third body, as in the earth-moon system, could conceivably slow down the incomiing object just enough for it to go into orbit about the other. But even in this case, everything has to line up just right. It is suspected that this happened to a few of the retrograde satellites in the outer solar system. It's more likely to happen around the gas giants because they have so many satellites available to absorb excess K.E. and capture strays.

There is always excess kinetic energy because even if the incoming object is approaching from "infinity", even at a very slow speed, it will speed up to escape velocity before it gets to the larger one it is falling towards. Potential energy measured from infinity exactly = a kinetic energy corresponding to escape velocity. Unless it hits the larger body, or is slowed down by rockets, aerobraking, or is held back by some third body, it will zip by the target in a mirror image of it's approach orbit.