Draw a circle using the Ellipse Tool. Make sure to hold down Shift to make a perfect circle. Choose any color for the fill, I picked #0996BB. You don't need a stroke color.

Draw a rectangle using the Rectangle Tool. Make sure it overlaps the circle.

Merge the shapes together. Select both shapes, using the Selection Tool. Hold down Shift to select multiple shapes. If Your Pathfinder palette isn't open, go to Window > Pathfinder to open it. While holding Alt click on the "Add to shape area" option. It should be the first box on the top row.

The bottom half of the pill is done. Let's create the top half now. Select the bottom half using the Selection Tool. Then go to Object > Transform > Reflect. Choose "Horizontal" and click "Copy". A second shape was just created. You then have to move this shape up so that it meets the other half of the pill.

You should have something like this.

Now change the color of the top half of your pill. Choose any color for the fill, I picked #E8E8E8. You don't need a stroke color.

Now we need to cut the shapes in half. Since we're going to make these shapes 3D using the Revolve feature, we only need one half of each color. Draw a rectangle over the two shapes using the Rectangle Tool. Make sure it lines up with the middle of your two pill shapes. I suggest using a guide so you'r 100% sure.

Select your two pill shapes using the Selection Tool and group them together (Command-G). With the Selection Tool again select your pill shape and then select your black rectangle box. Hold down Shift to select multiple shapes. Go to Window > Pathfinder to open up your Pathfinder palette (if it isn't already opened from before). Click “Merge.” This made the black rectangle box part of your pill shape. Now right-click your image and click “Ungroup.” Delete the black rectangle box.

Select both pill shapes and group them together, (Command-G). You should be left with the following.

With the grouped shapes selected go to Effect > 3D > Revolve. Make sure the "Preview" option is selected and make sure the Offset is set to Right Edge. Since we were using shapes on the left we need the revolve to go right. Play around with the Position and Surface to your liking.

After you are happy with the way it looks click “OK.” You should have something like this.

I wanted to add a stroke to mine. Copy the pill from Illustrator and paste it into a blank window in Photoshop. Using the line tool make a line accross the middle of the pill.

Now create a stroke around the entire pill. Double click the layer in the layer window and the effects window should open up. Click the stroke and adjust the color to your liking.

Here is my final result, you should have something similar depending on the colors you picked.