For a document open in Photoshop, you can enter captions and keyword tags in the File Info dialog box: Choose File > File Info. Enter a caption in the Description field.
If you want to enter captions, keywords, and other metadata efficiently for many images, you might prefer doing it in Adobe Bridge, where you can keep the Metadata and Keywords panels open all the time as you view folders and select images. The Metadata panel contains the Description field, and the Keywords panel lets you manage a list of keywords. Also, the Filter panel helps you show images by keyword. This process goes much faster in Bridge than in Photoshop, because you don’t have to open photos one by one.
In addition, if you wanted to enter the same keywords for many images, you can select multiple images in Bridge and apply the keywords to all of them at once.
Adobe Bridge is included with your Creative Cloud subscription, so you can install it using the same Creative Cloud desktop app that you used to install Photoshop.