There are a number of ways that a primary can capture a passing secondary. For a large secondary, one way that's fairly straightforward and easy to understand is ejection capture. Triton's orbit around Neptune is retrograde, making it unique among all the large moons in our solar system.

The most likely origin for Triton is that it started as a binary Kuiper belt object, like the Pluto-Charon system, but passed too close to Neptune. During the pass, the momentum of the orbit between Triton and its partner was added to the partner and subtracted from Triton, allowing Triton to be captured while its partner was ejected.