It is actually a much more sticky wicket than that.No ,see, Bucky, he's a fucking dumb ass. Notice "Bucky" is capital, "he" is lower case. Grammar Nazi fail. "Him" is his name, "he" is a pronoun replacement. Derp.
For much of our history, God and all referencing pronouns were capitalized. Whether or not to do it now is a debated topic in both academe and religion.
Really, it depends on the writer, and I would say either are correct. I would advise religious people to capitalize pronouns referring to their deity but lower case the pronouns referring to their non-deitys. Derpy Derp Derp Derp.