ABSTRACT Sufficiently massive growing giant planets have circumplanetary disks, and the capture of solid bodies by the disks would likely influence the growth of the planets and formation of satellite systems around them. In addition to dust particles that are supplied to the disk with inflowing gas, recent studies suggest the importance of capture of planetesimals whose motion is decoupled from the gas, but the orbital evolution of captured bodies in circumplanetary gas disks has not been studied in detail. In the present work, using three-body orbital integration and analytic calculations, we examine orbital characteristics and subsequent dynamical evolution of planetesimals captured by gas drag from circumplanetary gas disks. We find that the semimajor axes of the planet-centered orbits of planetesimals at the time of permanent capture are smaller than about one-third of the planet's Hill radius in most cases. Typically, captured bodies rapidly spiral into the planet, and the rate of the orbital decay is faster for the retrograde orbits due to the strong headwind from the circumplanetary gas. When a planetesimal captured in a retrograde orbit suffers from sufficiently strong gas drag before spiraling into the planet, its orbit turns to the prograde direction at a radial location that can be explained using the Stokes number. We also find that those captured in certain types of orbits can survive for a long period of time even under gas drag both in the prograde and retrograde cases, which may be important for the origin of irregular satellites of giant planets.