The 22-year-old, capped 17 times for his country, did not make Capello's final cut for the showpiece tournament in South Africa last summer.
In his autobiography, Theo: Growing Up Fast, Walcott claims he did not receive enough support ahead of the competition after an injury-plagued season left him low on confidence.
"I was confused," he said. "I had been injured so much that season my confidence was fragile, but no one ever helped me.
"If you are the boss surely you want everyone playing well and you want to encourage everyone. It killed me and I felt it wasn't fair."
The Gunners youngster also recounts an incident at England's World Cup training camp, adding: "I made a run inside from my position out wide on the right.
"Suddenly Mr Capello started screaming at me at the top of his voice. 'Theo,' he was yelling, 'I will kill you if you come inside like that again'. I never quite knew what was required of me."