Prisoner, captive both denote one who is deprived of his liberty.
Prisoner is the general term, applicable to anyone so deprived, but it is frequently used in a more specific sense, and applied to one who is confined to a prison or held under guard.
Captive implies seizure by force (as in war, conquest, or brigandage); it also often implies bondage or slavery rather than imprisonment, and sometimes suggests capture for ransom .