He and I are joined by odd links, making capital (8)
I believe the answer is:
helsinki
'capital' is the definition.
(capital of Finland)
'he and i are joined by odd links' is the wordplay.
'and' is a charade indicator (letters next to each other).
'are joined by' is an insertion indicator (inserted letters join the word).
'odd' indicates anagramming the letters.
'he'+'i'='hei'
'links' anagrammed gives 'lsink'.
'hei' placed around 'lsink' is 'HELSINKI'.
'making' acts as a link.
(Other definitions for helsinki that I've seen before include "1952 Olympic Games venue" , "Finland's capital" , "port" , "Sikh line (anag)" , "Nordic capital" .)