Capillary electrophoresis (CE) is usually off-line combined with an adsorption/desorption method to analyze gaseous or atmospheric samples. Here, we demonstrated direct sampling in the air of CE. The inlet end of a fused silica capillary filled with a pH 7.2 phosphate buffer was placed in the air for absorbing gaseous or volatile components, while the outlet end was immersed into a buffer vial at the low electric potential side. After a certain period of time, the inlet end was immersed into another buffer vial at the high electric potential side; CE was carried out by applying a high electric voltage of 20 kV. An UV-absorbance detector (wavelength, 254 nm) was used in CE. Evaporated vanillin in air was used as model gaseous sample. Experimental factors, such as a height difference between the inlet end and the outlet buffer, were investigated in detail. Fast detection of evaporated vanillin in indoor air was demonstrated.