To Spanish speakers, English speakers are very capitalization happy. We capitalize many things in English which are left without capitals in Spanish.
There are some basic rules to follow to decide when to use a capital letter and when to leave the first letter lowercase. Actually, maybe I should state that many rules in English capitalization, do not apply in Spanish. In Spanish you do not capitalize the names of the days of the week, or the months of the year. Titles of books in English have all major words capitalized, yet in Spanish it is only necessary to capitalize the first letter of the first word in the title. For example, Cien años de soledad, in the title of Gabriel Garcia Marquez' famous novel One Hundred Years of Solitude, English speakers would capitalize everything but 'of', whereas in Spanish it would be One hundred years of solitude, if it was in English and using Spanish rules.
What not to capitalize
The same rule applies to the names of paintings and other works of art. The names of religions, peoples, languages, and races, despite being capitalized in English, are not capitalized in Spanish. For example, Italian in Spanish would be written as italiano, or italian. Catholic in Spanish would be católico. Names of events, and places like a plaza would still use lower case letters.
Capitalizing pronouns in Spanish is questionable. Pronouns, being I, you, he, she, it, we, you, and they, all depend on where they go in a sentence. If they are the first word, they will be capitalized. If not, the only one that would be capitalized would be the polite form of you, and they: Usted and Ustedes, with no regard to its place in the sentence. The informal terms for you and they, being tú and ellos/ellos, would not be capitalized anywhere except as the first word
What to capitalize in Spanish
In Spanish, you do capitalize the names of people, cities, states, and countries. Spain is written as España with a capital letter. San Antonio, Texas would still be capitalized in Spanish as it is the proper name of a city. You also capitalize acronyms. For example the United States in Spanish, instead of being shortened to U.S. is abbreviated to EEUU. The names of institutions would have all words capitalized in both English and Spanish. UNAM or Universidad Autonoma de Mexico, the Autonomous University of Mexico uses capitalization, too. Of course, the first word of a sentence would use upper case. Yet, when in doubt, when writing in Spanish, your best guess would be to use lower case letters.