In the Morgiana Arc, how was Aladdin captured or when was he captured?
It's never shown, last time you see Aladdin he's planning on joining a caravan that's headed in the same direction as him, and then he's not seen again until Morgiana finds him captured.
He explains that some rocks fell on the caravans, he blacked out and when he woke up him and his friends were captured. Presumably the bandits just dragged his unconscious body away and cuffed him.
He didn't seem particularly stressed about the situation, and was probably waiting for an opportunity to escape.