The Solution
Go to Appearance> Editor and click on style.css on the lower right side. Scroll down a bit until you see:
.wp-caption{padding: 10px; width: auto !important; background: url(images/layout/transparent-bg.png) repeat;
Delete the width:auto !important; part.
Save your changes and then click on custom.css. Add this to keep your images centered inside the caption box:
.wp-caption img {
margin: 0 auto;
}
