Nonlinear pulse blanking is a widely applied method to mitigate the impulse interference of orthogonal frequency division multiplexing (OFDM) systems. To quantitatively analyze the capacity of the OFDM system with nonlinear pulse blanking, the analytical expressions of the instantaneous output signal-to-interference-plus-noise ratio of the OFDM system with ideal blanking, peak value blanking, and optimum threshold blanking are first derived. The probability density function of the instantaneous capacity of the OFDM system with nonlinear pulse blanking is then estimated by the finite mixture with the expectation-maximization algorithm. The ergodic capacity and the probability of the outage capacity of the OFDM system with nonlinear pulse blanking are obtained based on the estimated probability density function. Finally, the simulation results are provided to indicate its good agreement with the theoretical results.