Toulouse claimed last week that Cardiff were leading the race to sign the highly-rated Capoue and Mackay admits they are in talks to sign the French international.
Capoue has been linked with a move to the Premier League for some time and Mackay is hoping of luring the 25-year-old to Cardiff.
"Ourselves and Toulouse have come to an agreement," said Mackay.
"We've got to then have the conversation with Etienne and his advisors, they've been very professional in terms of what they're talking about as well.
"We've been in constant dialogue with them in the last week and Toulouse have been excellent to deal with.
"It's pretty delicate at the moment. We're in discussions and negotiations but it's something that's ongoing."