Aiming at the high-speed maneuvering target interception scenario, the conditions for the existence of the capture zone in the terminal guidance phase and the differential game guidance law were studied. The relative motion model of missile and target was established and the control dynamics model was introduced, and the relative motion model was reduced by terminal projection method. Based on the differential game theory, an analytic capture zone was derived, which can be used in the interception of maneuvering targets by a missile with dual control. The existence of the capture zone can ensure the accurate capture of any maneuvering target. The performance index function was re-selected, and the guidance problem of the target and the dual control missile with the collision angle constraint at the end was transformed into the zero-sum differential game problem, and the optimal interception strategy was solved. The simulation analyzed the existence of the capture zone of the dual control missile intercepting the target in several cases. Simulation results of the guidance law show that the differential game guidance law has better performance when intercepting high-speed maneuvering targets.