<?xml version="1.0" encoding="UTF-8"?>

<!--XBRL Document Created with the Workiva Platform-->
<!--Copyright 2024 Workiva-->
<!--r:fd2dd59d-50f1-480f-a752-7c7676a31568,g:404d10a4-e3ad-40cc-9488-2892f239161c-->
<xs:schema xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:link="http://www.xbrl.org/2003/linkbase" xmlns:cswc="http://www.capitalsouthwest.com/20240531" xmlns:xbrli="http://www.xbrl.org/2003/instance" xmlns:dtr-types1="http://www.xbrl.org/dtr/type/2020-01-21" attributeFormDefault="unqualified" elementFormDefault="qualified" targetNamespace="http://www.capitalsouthwest.com/20240531">
  <xs:import namespace="http://www.xbrl.org/2003/instance" schemaLocation="http://www.xbrl.org/2003/xbrl-instance-2003-12-31.xsd"/>
  <xs:import namespace="http://www.xbrl.org/2003/linkbase" schemaLocation="http://www.xbrl.org/2003/xbrl-linkbase-2003-12-31.xsd"/>
  <xs:import namespace="http://www.xbrl.org/dtr/type/2020-01-21" schemaLocation="https://www.xbrl.org/dtr/type/2020-01-21/types.xsd"/>
  <xs:import namespace="http://xbrl.sec.gov/dei-sub/2023" schemaLocation="https://xbrl.sec.gov/dei/2023/dei-sub-2023.xsd"/>
  <xs:import namespace="http://xbrl.sec.gov/ecd-sub/2023" schemaLocation="https://xbrl.sec.gov/ecd/2023/ecd-sub-2023.xsd"/>
  <xs:annotation>
    <xs:appinfo>
      <link:linkbaseRef xmlns:xlink="http://www.w3.org/1999/xlink" xlink:arcrole="http://www.w3.org/1999/xlink/properties/linkbase" xlink:href="cswc-20240531_pre.xml" xlink:role="http://www.xbrl.org/2003/role/presentationLinkbaseRef" xlink:type="simple"/>
      <link:linkbaseRef xmlns:xlink="http://www.w3.org/1999/xlink" xlink:arcrole="http://www.w3.org/1999/xlink/properties/linkbase" xlink:href="cswc-20240531_def.xml" xlink:role="http://www.xbrl.org/2003/role/definitionLinkbaseRef" xlink:type="simple"/>
      <link:linkbaseRef xmlns:xlink="http://www.w3.org/1999/xlink" xlink:arcrole="http://www.w3.org/1999/xlink/properties/linkbase" xlink:href="cswc-20240531_lab.xml" xlink:role="http://www.xbrl.org/2003/role/labelLinkbaseRef" xlink:type="simple"/>
    </xs:appinfo>
  </xs:annotation>
  <xs:element id="cswc_EquityAwardsValueOfDividendsAndOtherEarningsPaidAdjustmentMember" abstract="true" name="EquityAwardsValueOfDividendsAndOtherEarningsPaidAdjustmentMember" nillable="true" xbrli:periodType="duration" substitutionGroup="xbrli:item" type="dtr-types1:domainItemType"/>
  <xs:element id="cswc_EquityAwardsValueOfForfeitedAwardsAdjustmentMember" abstract="true" name="EquityAwardsValueOfForfeitedAwardsAdjustmentMember" nillable="true" xbrli:periodType="duration" substitutionGroup="xbrli:item" type="dtr-types1:domainItemType"/>
  <xs:element id="cswc_EquityAwardsReportedValueMember" abstract="true" name="EquityAwardsReportedValueMember" nillable="true" xbrli:periodType="duration" substitutionGroup="xbrli:item" type="dtr-types1:domainItemType"/>
  <xs:element id="cswc_EquityAwardsGrantedDuringTheYearVestedMember" abstract="true" name="EquityAwardsGrantedDuringTheYearVestedMember" nillable="true" xbrli:periodType="duration" substitutionGroup="xbrli:item" type="dtr-types1:domainItemType"/>
  <xs:element id="cswc_EquityAwardsGrantedInPriorYearsVestedMember" abstract="true" name="EquityAwardsGrantedInPriorYearsVestedMember" nillable="true" xbrli:periodType="duration" substitutionGroup="xbrli:item" type="dtr-types1:domainItemType"/>
  <xs:element id="cswc_EquityAwardsGrantedInCurrentYearMember" abstract="true" name="EquityAwardsGrantedInCurrentYearMember" nillable="true" xbrli:periodType="duration" substitutionGroup="xbrli:item" type="dtr-types1:domainItemType"/>
  <xs:element id="cswc_EquityAwardsGrantedInPriorYearsUnvestedMember" abstract="true" name="EquityAwardsGrantedInPriorYearsUnvestedMember" nillable="true" xbrli:periodType="duration" substitutionGroup="xbrli:item" type="dtr-types1:domainItemType"/>
</xs:schema>
