La réponse sur David Appleyard's Guide to English Punctuation:

In more formal or academic writing a capital can only be used for the first letter of a clause introduced by a colon if this clause constitutes a complete sentence.

In casual, everyday writing, however, this rule does not appear to be so strictly adhered to, and so widespread confusion prevails.

Exemples:

There was only one thing he knew for sure: He did not want to be sent back to North Korea. (Here capitalization is acceptable but not compulsory.)

There was only one thing he was afraid of: being sent back to North Korea. (In this case a capital letter should not be used.)

Conclusion : en général, pas de majuscule après deux-points, sauf si la partie de droite constitue une phrase.