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The time optimal pursuit-evasion-capture (PEC) game problem for two spacecraft with continuous constant thrust is studied, which is a typical and considerable game scenario in practice. Progressive Shooting Method (PSM) is proposed to solve the PEC game in this paper. The method solves the problem in two stages. First-shooting settles a simplified problem by substituting CW dynamics to simple dynamics, while second-shooting settles the original problem with the results of first-shooting. For first-shooting, an analytic initial guess construction method based on prior information is proposed, in which vague adjoint variables are expressed by quantities with clear physical meanings. Through qualitative analysis for the optimal trajectory, the quantities are approximately estimated and then analytic expressions of an initial guess are constructed. The proposed method provides an instructive way to deal with the difficulty that an initial guess is hard to provide for an optimal control problem based on indirect-method. Numerical results show that a PEC game can be solved by the proposed method with well convergence and high computational efficiency. [ABSTRACT FROM AUTHOR]