<PAGE>   1
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                               -----------------
                                   FORM 10-K
(Mark One)
[X] ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE 
    ACT OF 1934

For the fiscal year ended June 30, 1997
                          -------------
                                       OR

[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES 
    EXCHANGE ACT OF 1934

    For the transition period from ___________________ to _____________________

           Commission file numbers 33-99458; 333-10185; and 333-21219

                           AAMES CAPITAL CORPORATION
             (Exact name of Registrant as specified in its charter)

          California                                        95-4438859
(State or other jurisdiction of                          (I.R.S. Employer
incorporation or organization)                         Identification No.)

350 South Grand Avenue
Los Angeles, California                                           90071
(Address of principal executive offices)                       (ZIP Code)

                                 (213) 640-5000
              (Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

                                                      Name of each exchange on
Title of each class                                        which registered

None                                                         Not Applicable

Securities registered pursuant to Section 12(g) of the Act:
                                      None
                                (Title of Class)

Registrant is filing this Annual Report on Form 10-K in a reduced disclosure
format pursuant to a No-Action Letter issued to Aames Capital Corporation, dated
May 5, 1994.

Indicate by check mark whether the Registrant (1) has filed all
reports required to be filed by Section 13 or 15(d) of the Securities Exchange
Act of 1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.  Yes [X]  No [ ]

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 
of Regulation S-K is not contained herein, and will not be contained, to the 
best of the Registrant's knowledge, in definitive proxy or information 
statements incorporated by reference in Part III of this Form 10-K or any 
amendment to this Form 10K. [X]

State the aggregate market value of the voting stock held by non-affiliates of 
the Registrant.

Not applicable.

Indicate the number of shares outstanding of each of the Registrant's classes of
common stock, as of the last practicable date.

Not applicable.

                      DOCUMENTS INCORPORATED BY REFERENCE

No annual report to securityholders, proxy or information statement or 
prospectus filed pursuant to Rule 424(b) or (c) under the Securities Act of
1933 is incorporated herein by reference.


<PAGE>   2


                                     PART I

ITEM 1. BUSINESS.

        Not applicable.*

ITEM 2. PROPERTIES.

        Not applicable.

ITEM 3. LEGAL PROCEEDINGS.

        There are no material pending legal proceedings concerning the Trusts,
        any Trustee, the Servicer or the Registrant with respect to the Trusts,
        other than ordinary routine litigation incidental to the duties of the
        Trustee or the Servicer under the related Pooling and Servicing
        Agreement.

ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

        No matter was submitted to a vote of Certificateholders and no
        Certificateholder consent was solicited during the fiscal year covered
        by this report.


                                    PART II

ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS.

        There is no established public trading market for the Registrant's
        Mortgage Pass-Through Certificates, Series 1996-A, 1996-B, 1996-C,
        1996-D, 1997-A and 1997-B.

        As of June 30, 1997, there was one (1) holder of record of each of
        Registrant's publicly registered Mortgage Pass-Through Certificates,
        Series 1996-A, 1996-B, 1996-C, 1996-D, 1997-A and 1997-B as the
        certificates are issued in book-entry form.

        None of the Trusts pays dividends. Information as to distributions to
        Certificateholders is provided in Registrant's monthly Form 8-K filings.

ITEM 6. SELECTED FINANCIAL DATA.

        Not Applicable.

------------------------
* Registrant is exempted from providing certain information called
for by this and other Items pursuant to a No-Action Letter issued to Aames
Capital Corporation, dated May 5, 1994. Such exempted items have been designated
herein as "Not applicable."


                                       2

<PAGE>   3

ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND 
        RESULTS OF OPERATIONS.

        Not applicable.

ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA.

        Not applicable.

ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND 
        FINANCIAL DISCLOSURE.

        None.


                                    PART III

ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT.

        Not applicable.

ITEM 11. EXECUTIVE COMPENSATION.

        Not applicable.

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT.

        Not applicable.

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.

        Not applicable.


                                    PART IV

ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K.

(a)   List of documents filed as part of this report.

3.1.  Registrant's Articles of Incorporation (incorporated herein by reference 
      to Exhibit 3.1 to Registrant's Registration Statement on Form S-11 filed 
      October 21, 1993)

3.2.  Registrant's By-laws (incorporated herein by reference to Exhibit 3.2 to 
      Registrant's Registration Statement on Form S-11 filed October 21, 1993)


                                       3

<PAGE>   4

4.1   Pooling and Servicing Agreement with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-A, dated March 1, 1996 
      (incorporated by reference to Exhibit 4.1 to Registrant's Current Report 
      on Form 8-K filed April 29, 1996)

4.2   Pooling and Servicing Agreement with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-B, dated June 1, 1996 
      (incorporated by reference to Exhibit 4.1 to Registrant's Current Report 
      on Form 8-K filed July 26, 1996)

4.3   Pooling and Servicing Agreement with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-C, dated September 1, 1996 
      (incorporated by reference to Exhibit 4.1 to Registrant's Current Report 
      on Form 8-K filed October 29, 1996)

4.4   Pooling and Servicing Agreement with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-D, dated December 1, 1996 
      (incorporated by reference to Exhibit 4.1 to Registrant's Current Report 
      on Form 8-K filed January 29, 1997)

4.5   Pooling and Servicing Agreement with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1997-A, dated March 1, 1997 
      (incorporated by reference to Exhibit 4.1 of Registrant's Current Report 
      on Form 8-K filed April 29, 1997)

4.6   Pooling and Servicing Agreement with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1997-B, dated June 1, 1997 (incorporated
      by reference to Exhibit 4.1 to Registrant's Current Report on Form 8-K 
      filed July 29, 1997)

4.7   Certificate Insurance Policy with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-A, dated March 16, 1996 
      (incorporated by reference to Exhibit 4.2 to Registrant's Current Report 
      on Form 8-K filed April 29, 1996)

4.8   Certificate Insurance Policy with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-B, dated June 27, 1996 
      (incorporated by reference to Exhibit 4.2 to Registrant's Current Report 
      on Form 8-K filed July 26, 1996)

4.9   Certificate Insurance Policy with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-C, dated September 17, 1996 
      (incorporated by reference to Exhibit 4.2 to Registrant's Current Report 
      on Form 8-K fileD September 29, 1996)

4.10   Certificate Insurance Policy with respect to Registrant's Mortgage 
       Pass-Through Certificates, Series 1996-D, dated December 27, 1996 
       (incorporated by reference to Exhibit 4.2 to Registrant's Current 
       Report on Form 8-K filed January 29, 1996)

28.1  Annual Statement of Compliance, dated September 26, 1997, for Registrant's
      Mortgage Pass-Through Certificates, Series 1996-A, 1996-B, 1996-C, 1996-D,
      1997-A and 1997-B

28.2  Report of Price Waterhouse LLP, dated August 25, 1997, on Compliance with 
      the Uniform Single Attestation Program for Mortgage Bankers

                                       4

<PAGE>   5

28.3  Report Aggregating Certain Monthly Information to Certificateholders 
      with respect to Registrant's Mortgage Pass-Through Certificates, 
      Series 1996-A, 1996-B, 1996-C 1996-D, 1997-A and 1997-B.

(b)   Reports on Form 8-K.

        During the last quarter of the fiscal year ended June 30, 1997, the
        Registrant filed the following reports on Form 8-K:

        1.    Current Report on Form 8-K dated April 18, 1997 attaching monthly
              Statements to Certificateholders for Registrant's Mortgage
              Pass-Through Certificates, Series 1996-A, 1996-B, 1996-C, 1996-D
              and 1997-A.

        2.    Current Report on Form 8-K dated May 15, 1997 attaching monthly
              Statements to Certificateholders for Registrant's Mortgage
              Pass-Through Certificates, Series 1996-A, 1996-B, 1996-C, 1996-D
              and 1997-A.

        3.    Current Report on Form 8-K dated June 25, 1997 attaching monthly
              Statements to Certificateholders for Registrant's Mortgage
              Pass-Through Certificates, Series, 1996-A, 1996-B, 1996-C, 1996-D
              and 1997-A.

(c)   Exhibits required by Item 601 of Regulation S-K.

      Described in subparagraph (a).

(d)   Financial Statements.

      Not applicable.


                                       5
<PAGE>   6



                                   SIGNATURES


        Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, Aames Capital Corporation has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.


                                                  AAMES CAPITAL CORPORATION


Dated: September 26, 1997                         By: /s/ Mark E. Elbaum
                                                      -------------------
                                                      Mark E. Elbaum
                                                      Senior Vice President-
                                                       Finance


                                       6








<PAGE>   7



             SUPPLEMENTAL INFORMATION TO BE FURNISHED WITH REPORTS
                 FILED PURSUANT TO SECTION 15(d) BY REGISTRANTS
                      WHICH HAVE NOT REGISTERED SECURITIES
                       PURSUANT TO SECTION 12 OF THE ACT



                      No annual or proxy material has been
                           sent to Certificateholders




                                       7

<PAGE>   8



                                 EXHIBIT INDEX


EXHIBIT                   DOCUMENT

3.1.  Registrant's Articles of Incorporation (incorporated herein by
      reference to Exhibit 3.1 to Registrant's Registration Statement on
      Form S-11 filed October 21, 1993)

3.2.  Registrant's By-laws (incorporated herein by reference to Exhibit
      3.2 to Registrant's Registration Statement on Form S-11 filed
      October 21, 1993)

4.1   Pooling and Servicing Agreement with respect to Registrant's
      Mortgage Pass-Through Certificates, Series 1996-A, dated March 1,
      1996 (incorporated by reference to Exhibit 4.1 to Registrant's
      Current Report on Form 8-K filed April 29, 1996)

4.2   Pooling and Servicing Agreement with respect to Registrant's
      Mortgage Pass-Through Certificates, Series 1996-B, dated June 1,
      1996 (incorporated by reference to Exhibit 4.1 to Registrant's
      Current Report on Form 8-K filed July 26, 1996)

4.3   Pooling and Servicing Agreement with respect to Registrant's
      Mortgage Pass-Through Certificates, Series 1996-C, dated September
      1, 1996 (incorporated by reference to Exhibit 4.1 to Registrant's
      Current Report on Form 8-K filed October 29, 1996)

4.4   Pooling and Servicing Agreement with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-D, dated December 1, 1996 
      (incorporated by reference to Exhibit 4.1 to Registrant's Current 
      Report on Form 8-K filed January 29, 1997)

4.5   Pooling and Servicing Agreement with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1997-A, dated March 1, 1997 
      (incorporated by reference to Exhibit 4.1 to Registrant's Current Report 
      on Form 8-K filed April 29, 1997)

4.6   Pooling and Servicing Agreement with respect to Registrant's
      Mortgage Pass-Through Certificates, Series 1996-B, dated June 1,
      1997 (incorporated by reference to Exhibit 4.1 to Registrant's
      Current Report on Form 8-K filed July 29, 1997)

4.7   Certificate Insurance Policy with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-A, dated March 16, 1996 
      (incorporated by reference to Exhibit 4.2 to Registrant's Current Report 
      on Form 8-K filed April 29, 1996)
<PAGE>   9

4.8   Certificate Insurance Policy with respect to Registrant's Mortgage 
      Pass-Through Certificates, Series 1996-B, dated June 27, 1996 
      (incorporated by reference to Exhibit 4.2 to Registrant's Current Report 
      on Form 8-K filed July 26, 1996)

4.9   Certificate Insurance Policy with respect to Registrant's Mortgage
      Pass-Through Certificates, Series 1996-C, dated September 17, 1996
      (incorporated by reference to Exhibit 4.2 to Registrant's Current
      Report on Form 8-K filed September 29, 1996)

4.10  Certificate Insurance Policy with respect to Registrant's Mortgage
      Pass-Through Certificates, Series 1996-D, dated December 27, 1996
      (incorporated by reference to Exhibit 4.2 to Registrant's Current
      Report on Form 8-K filed January 29, 1996)

28.1  Annual Statement of Compliance, dated September 26, 1997, for
      Registrant's Mortgage Pass-Through Certificates, Series 1996-A,
      1996-B, 1996-C, 1996-D, 1997-A and 1997-B

28.2  Report of Price Waterhouse LLP, dated August 25, 1997, on Compliance with 
      the Uniform Single Attestation Program for Mortgage Bankers

28.3  Report Aggregating Certain Monthly Information to Certificate-holders 
      with respect to Registrant's Mortgage Pass-Through Certificates, 
      Series 1996-A, 1996-B, 1996-C, 1996-D, 1997-A and 1997-B