An integrated energy system (IES) is a regional energy system incorporating distributed multi-energy systems to serve various energy demands such as electricity, heating, cooling, and gas. The reliability analysis plays a key role in guaranteeing the safety and adequacy of an IES. This paper aims to build a capacity reliability model of an IES. The multi-energy correlation in the IES can generate the dependent capacity outage states, which is the distinguished reliability feature of an IES from a generation system. To address this issue, this paper presents a novel analytical method to model the dependent multi-energy capacity outage states and their joint outage probabilities of an IES for its reliability assessment. To model the dependent multi-energy capacity outage states, a new multi-dimensional matrix method is presented in the capacity outage probability table (COPT) model of the generation system. Furthermore, a customized multi-dimensional discrete convolution algorithm is proposed to compute the reliability model, and the adequacy indices are calculated in an accurate and efficient way. Case studies demonstrate the correctness and efficiency of the proposed method. The capacity value of multi-energy conversion facilities is also quantified by the proposed method.