The star striker pulled up and favored his left knee before being escorted off the Granja Comary training ground by team doctor Rodrigo Lasmar on Tuesday in Rio de Janeiro, Brazil.
Neymar has played in just four games since April 27, when he returned to action after breaking his foot.
Brazil's football confederation, CBF, said in a statement on Monday the 36-year-old defender will start wearing the armband in the friendly against Qatar on June 5 in Brasilia.
Besides being been banned for three matches in France after an altercation with a fan following the French Cup final, Neymar also publicly criticized some of his teammates - a move that Brazil coach Tite doesn't like.
Neymar, who plays for French Ligue 1 club PSG, was stripped off captaincy recently due to disciplinary issues and the band was handed to Dani Alves.
Adoration at home has also suffered because of political reasons.
The right-back was expected to be Brazil's captain during the World Cup in Russian Federation, but he suffered a left knee injury that didn't allow him to play.
Weeks later, as Neymar prepared for his return after the injury, Brazilian media reported his father had met Bolsonaro and Economy Minister Paulo Guedes to discuss the player's tax problems.