I was studying about heaven and hell, and John 3 says no one is in heaven. How do you understand Ephesians 4:8 -  "When he ascended on high, HE LED CAPTIVES IN HIS TRAIN and gave gifts to men"?  Who are the captives?

It is true that historically some have understood this as Christ bringing captives from the underworld to heaven. This understanding, however, is a later development and not held by the early church.

The image is that of a conqueror. The captives in the referenced Scripture (Psalm 68) appear in a military context. Also see Colossians 2:15. It looks like these captives are the enemies of God.

(The gifts tie in to verse 11, i.e., gifts for the church.)