The good sealing caprocks are significant for the integrity of underground gas storage (UGS) in depleted natural gas reservoirs. The screening of parameters, weight assignment, and evaluation method are important for evaluating the sealing performance of caprocks. Many factors can affect the sealing performance of caprocks, including caprock thickness, lithology, brittleness, porosity and permeability, breakthrough pressure, etc. In this paper, the dominant factors in the sealing performance of caprocks in UGSs are systematically analyzed, and the weights of these factors are analyzed by the analytic hierarchy process (AHP). The fuzzy comprehensive evaluation method (FCEM) is applied in the sealing evaluation of caprocks in three typical underground gas reservoirs (i.e., Zhujiadun, Xu-2, and Xing-9) in China. The sandstone reservoir in the Zhujiadun gas field is only about 20 m, and the thickness of the overlying mudstone is about 600 m. The caprock of the Xu-2 gas reservoir in Zhongba gas field is well distributed and developed, and the breakthrough pressure is relatively large. The caprock of Xing-9 gas field is mudstone with a thickness of over 400 m. The results show that the breakthrough pressure and permeability are the key parameters affecting the sealing ability of caprocks, with weights of 0.4291 and 0.2157, respectively. Among these three examples of gas fields, the sealing performance of caprocks in Zhujiadun gas storage is the best. The evaluation procedure and methods proposed in this paper are valuable for the evaluation of the tightness of caprocks in depleted gas reservoirs.