Foams are concentrated dispersions of gas bubbles in a continuous liquid phase. They are ubiquitous in nature and familiar from beet, frothed milk, and bubble baths; moreover, they play important roles in industrial applications ranging from petrochemicals to pharmaceuticals, food, and cosmetics. Recently, we reported the discovery of "capillary foams", a new class of stable foams obtained by frothing a suspension of colloidal particles in the presence of a small amount of oil. In this study, we explored in more detail the formation stages of capillary foams and found that particle networks are formed first, which then entrap the gas bubbles (in this case, air bubbles). We further investigated the influence of particle concentration and wettability on the formation of capillary foams. As the fraction of particles is increased, the foam volume first increases and then reaches a plateau value. Finally, capillary foams were prepared at different oil fractions, using oils with different interfacial properties. Our study shows that oil spreading has a strong effect on both the amount of oil needed to obtain stable foams and on the foam stability. A detailed understanding of the foam formation and the effects of material and process parameters lays a foundation for the targeted development of capillary foams toward future applications, which may range from the fabrication of load-bearing, lightweight porous materials, to enhanced oil recovery, advanced froth flotation, wastewater treatment, and oil spill remediation.