In this paper, the capacity of continuous-space electromagnetic channels is analyzed. We assume the regions confining the transceivers are filled with dielectric that is either lossy or lossless and show how the capacity is affected by the physical loss of the source region. Our analysis is based on calculation of exact power consumption in the presence of mutual coupling and accurate modeling of noise based on fluctuation-dissipation theorem. We also analytically derive the Q factor and show how the capacity is affected by the bandwidth constraint. Finally, we compare our work with the existing literature and analyze the maximum gain of spherical dielectric antennas in practical applications.