There are several types of captivity explored in this novel. On the surface, the people of the Congo are captives in many ways - throughout their history of being colonized by other nations (in this novel, Belgium and then the U.S. trying to control them). So there is political captivity and freedom. The Congolese are attempting a freedom movement in this novel, and many of the characters are involved in it (Anatole, Leah, etc.)
There is also spiritual and emotional captivity. All of the Price women are emotional captives of their father and husband, Nathan. He is abusive and controlling. They each have a unique emotional captivity as well - Adah is crippled emotionally and physically, Rachel is crippled emotionally and grows into a woman constantly seeking approval through low-life men. Orleanna is crippled emotionally and it scars her and affects her relationships with her children, etc. The women are also spiritual captives to Nathan's version of religion, which is presented as fundamental extremism in this novel. None of them experience any of the freedom that true faith allows, which is disturbing, since they are a family of missionaries supposed to be bringing the "good news" to the natives.
There is also physical captivity. Adah is handicapped physically, but eventually she is freed from her physical captivity. Nelson and Anatole all have physical issues that hold them captive for awhile (i.e. Anatole's scarred face).
There is also cultural captivity. The Underdowns are closed-minded and racist so in a sense, they are captives of their own colonizers' mentality.