Political theorists are familiar with the proposition that social capital in the form of trust, membership in voluntary organizations, and community engagement, is conducive to democracy. Corroborating empirical evidence exists but it is patchy and inconclusive because it is usually based on aggregate, often country-level data or isolated case studies, and the identified relationship is associative rather than causal. In this paper, I use some of the most recent large-scale micro-level datasets to establish that the relationship between social capital and democracy is indeed strong and causal as predicted by theory. I find that citizens who have more trust in others, attend community meetings, and belong to voluntary organizations tend to prefer democracy to any other kind of governance.