A cap assembly for a nail driving gun includes a cylindrical body mounted detachably on an open end of a gun housing. The cylindrical body includes a first flange that defines an inner space and that is formed with an external thread engaging threadedly the open end of the housing, and a second flange that is reduced from the first flange, that extends into the housing, and that defines a receiving space in fluid communication with the inner space. A nut is disposed in the inner space. A cover with an air outlet is fastened to the nut through a bolt to cover the inner space. A sealing member is movably and sealingly disposed in the housing for sealing the receiving space during a nail impelling operation.