I'm not sure what you mean.Which is person, which is thing?
Aha, that's the key! I remembered the long victory parade in the long movie Cleopatra.The verb "led" is important to take into consideration. To "lead captive" refers to the practice of parading captives in a triumphal procession after defeating and capturing them in battle. Here it is "captivity" itself which is defeated and paraded in triumph.
Metaphorically, "captivity" is interpreted as the constraints of death, sin, etc.