How I can capture packets on my mobile phone

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If your mobile phone is running Android you can give it a try with androiddump.

An alternative to androiddump is an over-the-air capture while the phone is operating. Wireshark is a free app that can view the data with tools to help capture as well through dumpcap, tshark, etc. This would work for all devices, as long as you have a proper WiFi capture setup. There are pros and cons to either method.