The article employs exploratory structural equation modeling (ESEM) to evaluate constructs of economic, cultural, and social capital in international large-scale assessment (LSA) data from the Progress in International Reading Literacy Study (PIRLS) 2006 and the Programme for International Student Assessment (PISA) 2009. ESEM integrates the theory-generating approach of exploratory factor analysis (EFA) and theory-testing approach of confirmatory factor analysis (CFA). It relaxes the zero-loading restriction in CFA, allowing items to load on different factors simultaneously, and it provides measurement invariance tests across countries not available in EFA. A main criticism of international LSA studies is the extended use of indicators poorly grounded in theory, like socioeconomic status, that prevent the study of mechanisms underlying associations with student outcomes. This article contributes to addressing this criticism by providing statistical criteria to evaluate the fit of well-defined sociological constructs with the empirical data.