23 But what is, “You have led captivity captive”? Is it because He has conquered death, which was holding captive those over whom it reigned? Or has he called men themselves captivity, who were being held captive under the devil? Which thing's mystery even the title of that Psalm does contain, to wit, “when the house was being built after the captivity:” that is, the Church after the coming in of the Gentiles. Calling therefore those very men who were being held captive a captivity, as when “the service” is spoken of there are understood those that serve also, that same captivity he says by Christ has been led captive.
For why should not captivity be happy, if even for a good purpose men may be caught? Whence to Peter has been said, “From henceforth you shall catch men.” Led captive therefore they are because caught, and caught because subjugated, being sent under that gentle yoke, being delivered from sin whereof they were servants, and being made servants of righteousness whereof they were children. Whence also He is Himself in them, that has given gifts to men, and has received gifts in men. And thus in that captivity, in that servitude, in that chariot, under that yoke, there are not thousands of men lamenting, but thousands of men rejoicing. For the Lord is in them, in Sina, in the holy place....
Source: The Enarrations, or Expositions, on the Psalms (New Advent)