Atherosclerotic plaque growth is characterised by chronic, non-resolving inflammation that promotes the accumulation of cellular debris and extracellular fat in the inner artery wall. This material is highly thrombogenic, and plaque rupture can lead to the formation of blood clots that occlude major arteries and cause myocardial infarction or stroke. In advanced plaques, vascular smooth muscle cells (SMCs) are recruited from deeper in the artery wall to synthesise a cap of fibrous tissue that stabilises the plaque and sequesters the thrombogenic plaque content from the bloodstream. The fibrous cap provides crucial protection against the clinical consequences of atherosclerosis, but the mechanisms of cap formation are poorly understood. In particular, it is unclear why certain plaques become stable and robust while others become fragile and dangerously vulnerable to rupture. We develop a multiphase model with non-standard boundary conditions to investigate early fibrous cap formation in the atherosclerotic plaque. The model is parameterised using data from a range of in vitro and in vivo studies, and includes highly nonlinear mechanisms of SMC proliferation and migration in response to an endothelium-derived chemical signal. We demonstrate that the model SMC population naturally evolves towards a steady-state, and predict a rate of cap formation and a final plaque SMC content consistent with experimental observations in mice. Parameter sensitivity simulations show that SMC proliferation makes a limited contribution to cap formation, and demonstrate that stable cap formation relies primarily on a critical balance between the rates of SMC recruitment to the plaque, chemotactic SMC migration within the plaque and SMC loss by apoptosis or phenotype change. This model represents the first detailed in silico study of fibrous cap formation in atherosclerosis, and establishes a multiphase modelling framework that can be readily extended to investigate many other aspects of plaque development.