There are at least 2 ways to align things:
1. Highlight the objects you want to align (by Shift-click or holding down the mouse button to enclose the desired objects), then (in top menu bar) ARRANGE > ALIGN OBJECTS, and then align them however you want, vertically or horizontally, in your case CENTER. (The problem I have with this method is that it often moves both objects away from their original positions, even though usually at least one of them was already properly positioned. This function, as well as "distribute", is much more to my liking the way PowerPoint does it.) You will still have to adjust the space between your picture and the caption to your liking. The step below will aid you in that, as well as being an entirely second method to align things.
2. In KEYNOTE > PREFERENCES > RULERS you can set things up as you prefer. In your case, you should check, under Alignment Guides, at least the first item, "Show guides at object center", and I find it's useful to see the guides at the object edges, too. When those are checked, go to your slide and click on either the pic or the caption, to bring it to the position you desire relative to the other. As you do, you'll see the red (unless you changed the color) guide lines appear to show you when the centers (and edges) are aligned. I prefer this method to the one above, for the reason stated above.