Phenomena of capillary condensation and desorption in siliceous mesoporous molecular sieves (MMS) with cylindrical channels are studied by means of the non-local density functional theory (NLDFT). The results are compared with macroscopic thermodynamic approaches based on Kelvin–Cohan (KC) and Derjaguin–Broekhoff–de Boer (DBdB) equations. We show that: The KC equations, which constitute the basis of the traditional BJH method for the pore size distribution analysis, are in error even in pores as large as 20 nm. The DBdB equations with consistently determined thickness of the adsorbed layer (disjoining pressure isotherm) can be justified for pores wider than ≈7 nm in diameter. As the pore size decreases, the macroscopic arguments become less accurate, and the NLDFT and DBdB results differ significantly in pores smaller than ≈4 nm. The adsorption–desorption isotherms predicted by NLDFT are found to be in quantitative agreement with the experimental nitrogen (77 K) and argon (87 K) isotherms on MCM-41 type materials with pores larger than 5 nm. Therewith, the experimental desorption branch corresponds to the equilibrium capillary condensation/evaporation transition. The experimental adsorption branch corresponds to the spontaneous spinodal condensation, which occurs at the limit of stability of adsorption films. The NLDFT method has been developed for the calculation of pore size distributions from both the adsorption and desorption isotherms.