Before battling it, save your game, then lower it's health to the red, inflict a status effect on them (i.e paralize) and lower its stats. Then throw ulra balls at it like crazy.
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In Pokémon Diamond and Pearl, you only have one chance to capture Uxie. If Uxie faints or if you run away, then you will not get another chance to capture it. The answer is no.
You can't capture Uxie more than once on this game, but you can own more than one Uxie if it is traded to you.
They will run away, and you have to find them in the wild and capture them.
you have two option.do you want to continue without capture the legendary Pokemon or you load back the game before you fight uxie i hope this will help
first get 40 ultra balls from the poke mart or poke market then go to lake acuityfrom there surf to the cave and u will see uxie then save the game then fight against uxie when the level goes down to red keep on throwing the ultra balls till it gets caught.