Process capability indices such as Cp, Cpk, Cpmk and Cpm are widely used in manufacturing industries to provide a quantitative measurement of the performance of the products. In this article, we derived generalized confidence intervals for the difference between process capability indices for two processes under one-way random effect model. Our study provides coverage probability close to the nominal value in almost all cases as shown via simulation. An example from industrial contexts is given to illustrate the results. Copyright © 2012 John Wiley & Sons, Ltd.