Anzhi Makhachkala forward Fedor Smolov and Zenit St Petersburg midfielder Roman Shirokov both scored for the home side, while influential midfielder Michael Bradley and 22-year-old Norwegian-born newcomer Mikkel Deskerud were on target for the visitors.
"I'm pleased with what my team showed at the pitch today," Capello said. "Of course we're all slightly upset with this injury-time goal but we created plenty of scoring chances and looked very solid tonight.
"I gave our young players chances to show themselves in a match of the national squad," he said. It was very important for all of them to get the experience of playing at the top international level. I received a positive impression from this match."
The hosts started in a lively fashion, pinning back the Americans, who were weakened with the absence of Tottenham Hotspur's Clint Dempsey and Landon Donovan of LA Galaxy, from the kick-off.
Smolov put Russia 1-0 up in the ninth minute, giving US goalkeeper Tim Howard of English Premier League side Everton no chance from close range after a mix-up in defence.
Bradley, of Serie A outfit Roma, however, levelled in the 76th minute with an extravagant volley from outside the box, which struck the left post and ricocheted into the net, after being fed with a header by team-mate Juan Agudelo.
Russia poured forward for the winning goal, and in the 84th minute, Shirokov scored from the spot after Spartak Moscow forward Artem Dzyuba was fouled in the area.
But they failed to keep their lead, as Norwegian side Rosenborg midfielder Deskerud saved the day, levelling the score in the second minute of added time - again with a volley from outside the box.
Russia drew 1-1 with Côte d'Ivoire in Capello's first match in charge on 15 August. The draw was followed by four consecutive wins against Northern Ireland, Israel, Portugal and Azerbaijan in 2014 FIFA World Cup™ qualifiers.
The Americans are through to the final round of qualifying (Hexagonal) in their North, Central American and Caribbean Zone, and they will open their account in the six-team section early next year against Honduras.