Liquid droplets wetting on thin fibers induce appreciable capillary forces that may further modulate the mechanical behavior of the fibers, especially for those ultrathin compliant fibers made of polymeric materials (e.g., biopolymers, hydrogels, etc.). This paper aims to study the capillary effect in the mechanical response of an axially loaded compliant fiber wetted with droplets. First, the fiber is considered as a linearly elastic column and the critical condition of Euler-buckling due to a droplet wetting fiber, denoted as capillary buckling, is derived. Furthermore, a nonlinear continuum hydroelasticity model is formulated to examine the capillary effect in the mechanical response of an axially loaded compliant fiber wetted with a droplet. The fiber material is modeled as an incompressible, isotropic, hyperelastic Mooney-Rivlin solid. Barrel-shaped morphology of the droplet sitting on the fiber is assumed. Explicit hydroelastic solution to such a droplet-on-fiber system with large deformation is derived, which shows the dependency of mechanical response upon fiber diameter, droplet size, and surface wetting property of the system. Results show that in the case of hydrophilic fibers, capillary effect can enhance the load-carrying capacity of the thin fibers. The concepts and results presented in this study can be used to analyze the mechanical behavior of thin compliant fibers structured in wet and vapor-related environments (e.g., biological, colloid, and catalytic systems).