<PAGE>   1
 
                       SECURITIES AND EXCHANGE COMMISSION
 
                             WASHINGTON, D.C. 20549
 
                                   FORM 10-Q
 
              QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
                      THE SECURITIES EXCHANGE ACT OF 1934
FOR THE QUARTER ENDED MARCH 31, 1999           COMMISSION FILE NUMBER: 814-00127
 
                          BRANTLEY CAPITAL CORPORATION
             (EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)
 
                                    MARYLAND
             ------------------------------------------------------
                        (STATE OR OTHER JURISDICTION OF
                         INCORPORATION OR ORGANIZATION)
 
                                   34-1838462
             ------------------------------------------------------
                    (I.R.S. EMPLOYER IDENTIFICATION NUMBER)
 
           20600 CHAGRIN BOULEVARD, SUITE 1150, CLEVELAND, OHIO 44122
          (ADDRESS OF PRINCIPAL EXECUTIVE OFFICES INCLUDING ZIP CODE)
 
                                 (216) 283-4800
              (REGISTRANT'S TELEPHONE NUMBER INCLUDING AREA CODE)
 
        Securities registered pursuant to Section 12(b) of the Act: None
 
          Securities registered pursuant to Section 12(g) of the Act:
                          Common Stock, $.01 par value
 
     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 [ ]
 
     The number of shares of common stock outstanding as of March 31, 1999 was
3,810,535.
<PAGE>   2
 
                        PART I.   FINANCIAL INFORMATION
 
ITEM 1. FINANCIAL STATEMENTS
 
                          BRANTLEY CAPITAL CORPORATION
                                 BALANCE SHEETS
 
<TABLE>
<CAPTION>
                                                               MARCH 31,     DECEMBER 31,
                                                                 1999            1998
                                                              -----------    ------------
                                                              (UNAUDITED)
<S>                                                           <C>            <C>
          ASSETS
Cash and cash equivalents (Note 2)..........................  $21,742,384    $22,973,379
Investments, at market (Note 2).............................   27,000,474     26,911,160
Dividends and interest receivable...........................      419,208        433,874
Other assets................................................       75,463        137,113
                                                              -----------    -----------
          TOTAL ASSETS......................................  $49,237,529    $50,455,526
                                                              ===========    ===========
          LIABILITIES AND STOCKHOLDERS' EQUITY
LIABILITIES:
Advisory fee payable (Note 3)...............................  $   347,665    $   361,153
Administration fee payable..................................       31,366         12,500
Professional fee payable....................................       66,920         39,319
Organization and offering costs payable.....................       68,117         68,117
Other liabilities...........................................       78,734         32,909
                                                              -----------    -----------
          TOTAL LIABILITIES.................................  $   592,802    $   513,998
                                                              ===========    ===========
STOCKHOLDERS' EQUITY:
  Common Stock, $0.01 par value; 25,000,000 shares
     authorized and 3,810,535 outstanding at March 31, 1999
     and December 31, 1998 respectively.....................  $    38,105    $    38,105
  Additional paid in capital................................   37,505,433     37,505,433
  Retained earnings.........................................   11,101,189     12,397,990
                                                              -----------    -----------
          TOTAL STOCKHOLDERS' EQUITY........................   48,644,727     49,941,528
                                                              ===========    ===========
TOTAL LIABILITIES AND STOCKHOLDERS' EQUITY..................  $49,237,529    $50,455,526
                                                              ===========    ===========
NET ASSET VALUE PER SHARE...................................  $     12.77    $     13.11
                                                              ===========    ===========
</TABLE>
 
See accompanying notes to the financial statements.
 
                                        2
<PAGE>   3
 
                          BRANTLEY CAPITAL CORPORATION
 
                            STATEMENTS OF OPERATIONS
 
                                  (UNAUDITED)
 
<TABLE>
<CAPTION>
                                                              FOR THE QUARTER    FOR THE QUARTER
                                                                   ENDED              ENDED
                                                                 MARCH 31,          MARCH 31,
                                                                   1999               1998
                                                              ---------------    ---------------
<S>                                                           <C>                <C>
INVESTMENT INCOME:
  Interest and dividend income..............................    $   309,703        $  425,192
                                                                -----------        ----------
OPERATING EXPENSES:
  Advisory fees.............................................        347,665           274,638
  Administration fees.......................................         33,799            38,219
  Professional fees.........................................         27,751            26,041
  Organization costs (Note 1)...............................         96,376             8,244
  Other.....................................................         45,650            49,811
                                                                -----------        ----------
  TOTAL EXPENSES............................................        551,241           396,953
                                                                -----------        ----------
NET (LOSS) INCOME...........................................    $  (241,538)       $   28,239
                                                                -----------        ----------
NET REALIZED AND UNREALIZED GAINS ON INVESTMENT
  TRANSACTIONS:
  Net realized gain on investment transactions..............        459,210            65,478
  Net unrealized (depreciation)/appreciation on
     investments............................................     (1,514,473)        1,810,760
                                                                -----------        ----------
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS..................     (1,055,263)        1,876,238
                                                                -----------        ----------
NET CHANGE IN NET ASSETS RESULTING FROM OPERATIONS..........    $(1,296,801)       $1,904,477
                                                                ===========        ==========
(LOSS)/INCOME PER SHARE.....................................    $     (0.34)       $     0.50
                                                                ===========        ==========
WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING...............      3,810,535         3,810,535
                                                                ===========        ==========
</TABLE>
 
See accompanying notes to the financial statements.
 
                                        3
<PAGE>   4
 
                          BRANTLEY CAPITAL CORPORATION
 
                            STATEMENTS OF CASH FLOWS
 
                                  (UNAUDITED)
 
<TABLE>
<CAPTION>
                                                             FOR THE QUARTER    FOR THE QUARTER
                                                                  ENDED              ENDED
                                                                MARCH 31,          MARCH 31,
                                                                  1999               1998
                                                             ---------------    ---------------
<S>                                                          <C>                <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
  NET CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:......  $    (1,296,801)         1,904,477
  Adjustments to reconcile net change in net assets
     resulting from operations to net cash used for
     operations:
       Net realized gain from investments..................  $      (459,210)   $       (65,478)
       Change in unrealized depreciation (appreciation)....        1,514,473         (1,810,760)
       Changes in assets and liabilities:
          Organization costs...............................           96,376              8,244
          Advisory fee payable.............................          (13,488)            (9,473)
          Administration fee payable.......................           33,799             (9,432)
          Professional fee payable.........................           27,601            (53,033)
          Distributions payable............................               --           (342,948)
          Organization costs payable.......................               --            (25,000)
          Dividend and interest receivable.................           14,666            (67,573)
          Other assets.....................................          (34,726)            30,948
          Other liabilities................................           30,893             (2,387)
                                                             ---------------    ---------------
          NET CASH USED FOR OPERATING ACTIVITIES...........          (86,417)          (442,415)
                                                             ---------------    ---------------
CASH FLOWS FROM INVESTING ACTIVITIES:
       Purchases of investment securities..................       (3,697,000)                --
       Sales/maturities of investment securities...........        2,092,988            393,250
       Purchases of short-term investments.................   (1,295,532,570)    (1,450,708,964)
       Sales/maturities of short-term investments..........    1,295,992,004      1,450,766,770
                                                             ---------------    ---------------
          NET CASH (USED FOR) PROVIDED BY INVESTING
            ACTIVITIES.....................................       (1,144,578)           451,056
                                                             ---------------    ---------------
NET CHANGE IN CASH AND CASH EQUIVALENTS FOR THE PERIOD.....       (1,230,995)             8,641
                                                             ---------------    ---------------
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD.............       22,973,379         24,691,345
                                                             ---------------    ---------------
CASH AND CASH EQUIVALENTS, END OF THE PERIOD...............  $    21,742,384    $    24,699,986
                                                             ===============    ===============
</TABLE>
 
The Company paid no interest or federal income tax during the period.
 
See accompanying notes to the financial statements.
 
                                        4
<PAGE>   5
 
                          BRANTLEY CAPITAL CORPORATION
 
                       STATEMENTS OF STOCKHOLDERS' EQUITY
 
                                  (UNAUDITED)
 
<TABLE>
<CAPTION>
                                                      ADDITIONAL                       TOTAL
                                           COMMON       PAID IN       RETAINED      STOCKHOLDERS
                                            STOCK       CAPITAL       EARNINGS         EQUITY
                                           -------    -----------    -----------    ------------
<S>                                        <C>        <C>            <C>            <C>
Balance at December 31, 1997.............  $38,105    $37,611,421    $ 5,262,089    $42,911,615
Net increase in net assets from
  operations.............................       --             --      7,068,018      7,068,018
Net investment loss reclassification.....       --       (105,988)       105,988             --
Distributions from net investment
  income.................................       --             --        (38,105)       (38,105)
                                           -------    -----------    -----------    -----------
Balance at December 31, 1998.............  $38,105    $37,505,433    $12,397,990    $49,941,528
                                           -------    -----------    -----------    -----------
Net decrease in net assets from
  operations.............................       --             --     (1,296,801)    (1,296,801)
Distributions from net investment
  income.................................       --             --             --             --
                                           -------    -----------    -----------    -----------
Balance at March 31, 1999................  $38,105    $37,505,433    $11,101,189    $48,644,727
                                           =======    ===========    ===========    ===========
</TABLE>
 
See accompanying notes to the financial statements.
 
                                        5
<PAGE>   6
 
                          BRANTLEY CAPITAL CORPORATION
 
                 NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
 
1. SIGNIFICANT ACCOUNTING POLICIES
 
       The interim financial statements have been prepared by Brantley Capital
   Corporation ("the Company") pursuant to the rules and regulations of the
   Securities and Exchange Commission applicable to quarterly reports on Form
   10-Q. Certain information and footnote disclosures normally included in
   financial statements prepared in accordance with generally accepted
   accounting principles have been condensed or omitted pursuant to such rules
   and regulations, although management believes that the disclosures are
   adequate to make the information presented not misleading. These financial
   statements should be read in conjunction with the audited financial
   statements and related notes and schedules included in the Company's 1998
   Annual Report filed on Form 10-K for the year ended December 31, 1998.
 
       The unaudited financial statements reflect, in the opinion of management,
   all adjustments, all of which are of a normal recurring nature, necessary to
   present fairly the financial position of the Company as of March 31, 1999,
   the results of its operations for the three month period ended March 31,
   1999, and its cash flows for the three month period ended March 31, 1999.
   Interim results are not necessarily indicative of results to be expected for
   a full fiscal year.
 
       In April 1998, the American Institute of Certified Public Accountants
   issued Statement of Position 98-5, Reporting the Costs of Start-Up
   Activities, which requires that costs related to start-up activities be
   expensed as incurred. Prior to 1998, the Company capitalized its legal and
   other professional fees incurred in connection with organizing the Company.
   The Company adopted the provisions of the SOP as of January 1, 1999. The
   effect of the adoption of SOP 98-5 was to decrease income from continuing
   operations in 1999 by $96,376 ($0.03 per share) to expense costs that had
   been previously capitalized prior to 1999.
 
2. INVESTMENTS, CASH AND CASH EQUIVALENTS
 
       As of March 31, 1999 and December 31, 1998, the identified costs of
   investments were $37,798,543 and 37,163,014, respectively.
 
       Cash equivalents consist of highly liquid investments with insignificant
   interest rate risk and original maturities of three months or less at
   acquisition date. Cash and cash equivalents consisted of the following:
 
<TABLE>
<CAPTION>
                                                                   MARCH 31,     DECEMBER 31,
                                                                     1999            1998
                                                                  -----------    ------------
                                                                  (UNAUDITED)     (AUDITED)
    <S>                                                           <C>            <C>
    Cash........................................................  $     3,384    $   266,120
    United States Treasury Bill:
      4.50% 4/01/99.............................................   21,739,000
      4.25% 1/21/99.............................................                  22,707,259
                                                                  -----------    -----------
                                                                  $21,742,384    $22,973,379
                                                                  ===========    ===========
</TABLE>
 
3. INVESTMENT ADVISORY AGREEMENT
 
       The Company has entered into an investment advisory agreement (the
   "Advisory Agreement") with Brantley Capital Management, L.L.C. (the
   "Investment Adviser") under which the Investment Adviser is entitled to an
   annual management fee of 2.85% of the Company's net assets, determined at the
   end of each calendar quarter, and payable quarterly in arrears throughout the
   term of the Advisory Agreement. For the three months ended March 31, 1999,
   the Investment Adviser earned $347,665 under the Advisory Agreement. Certain
   officers of the Company are also officers of the Investment Adviser. No
   officer of the Investment Adviser receives any compensation from the Company
   for serving as an officer of the Company.
 
                                        6
<PAGE>   7
                          BRANTLEY CAPITAL CORPORATION
 
          NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
 
4. FINANCIAL HIGHLIGHTS
 
<TABLE>
<CAPTION>
                                                                  THREE MONTHS    THREE MONTHS
                                                                     ENDED           ENDED
                                                                   MARCH 31,       MARCH 31,
                       FOR THE PERIODS ENDED                          1999            1998
                       ---------------------                      ------------    ------------
    <S>                                                           <C>             <C>
    Net Asset Value, Beginning of the Period....................     $13.11          $11.26
    Income from investment operations:
    Net (Loss)/income...........................................      (0.06)           0.01
    Net Realized and Unrealized (Loss)/gain on Investments......      (0.28)           0.49
                                                                     ------          ------
    Total from investment operations:...........................      (0.34)           0.50
                                                                     ------          ------
    Net Asset Value, End of the Period..........................     $12.77          $11.76
                                                                     ======          ======
    Market Value, End of the Period.............................     $ 7.13          $10.75
                                                                     ======          ======
    Total Return, At Market Value...............................       0.00%          11.63%
    Total Return, At NAV........................................      (2.59)%          4.44%
</TABLE>
 
                                        7
<PAGE>   8
 
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS
 
     Brantley Capital Corporation (the "Company") is a closed end,
non-diversified investment company that has elected to be treated as a "business
development company" under the Investment Company Act of 1940, as amended (the
"Act"). The Company invests primarily in the equity and equity-linked debt
securities of private companies. The Company's principal investment objective is
the realization of long-term capital appreciation in respect of such
investments.
 
     This Quarterly Report on Form 10-Q contains certain statements of a
forward-looking nature relating to future events or the future financial
performance of the Company and its investment portfolio companies. Such
statements are only predictions and the actual events or results may differ
materially from the results discussed in the forward-looking statements. Factors
that could cause or contribute to such differences include, but are not limited
to, those relating to investment capital demand, pricing, market acceptance, the
effect of economic conditions, litigation and the effect of regulatory
proceedings, competitive forces, the results of financing and investing efforts,
the ability to complete transactions and other risks identified below or in the
Company's filings with the Securities and Exchange Commission. The following
analysis of the financial condition and results of operation of the Company
should be read in conjunction with the Financial Statements, the Notes thereto
and the other financial information included elsewhere in this report.
 
RESULTS OF OPERATIONS
 
     The Company began operations upon the completion of an initial public
offering on December 3, 1996. Its principal investment objective is the
realization of long-term capital appreciation from investing primarily in the
equity and equity-linked debt securities of private companies. In addition, the
Company can invest, and has invested, a portion of its assets in post-venture
small-cap public companies.
 
     Pending the completion of equity and equity-linked debt security
investments that meet the Company's investment objectives, available funds are
invested in short-term securities. In addition, whenever feasible in light of
market conditions and the cash flow characteristics of its portfolio companies,
the Company seeks to provide an element of current income primarily from
interest, dividends and fees paid by its portfolio companies. Dividend and
interest income on investments was $309,703 for the quarter ended March 31,
1999. The significant components of total operating expenses were fees of
$347,665 to the Investment Adviser during the quarter ended March 31, 1999, and
other professional fees.
 
     During the quarters ended March 31, 1999 and March 31, 1998, the Company's
equity and equity-linked debt security investments resulted in net realized and
unrealized (losses) gains on investment transactions of ($1,055,263) and
$1,876,238, respectively. During the first quarter of 1999, the Company was
invested in small capitalization public stocks which are subject to general
stock market conditions and the five private investments described below. The
unrealized gains (losses) through March 31, 1999 were significantly influenced
by these general stock market conditions.
 
     Like other business development companies, mutual funds, financial and
business organizations and individuals around the world, the Company could be
adversely affected if the computer systems used by the Investment Adviser and
third party administrator, custodian and transfer agent do not properly process
and calculate date-related information from and after January 1, 2000.
Significant accounting and custodial services of the fund are provided by State
Street Bank & Trust Company. In addition, transfer agency services are provided
by Boston Equiserv. The Company has made inquiries to the Investment Adviser,
State Street Bank & Trust Company, and Boston Equiserv regarding whether they
expect to have their computer systems year 2000 compliant. Reports describing
the progress State Street Bank & Trust Company and Boston Equiserv are making in
preparing for January 1, 2000 are reviewed on a regular basis. While there can
be no assurances that the steps being taken by the service providers will be
sufficient to avoid any adverse impact on the Company, all of these service
providers have reported that they expect their systems to be in compliance with
year 2000 requirements prior to that time. While all of the Company's service
providers are reporting an appropriate state of readiness, the risk of a service
provider failing to be year 2000 compliant could mean many things based upon the
specific conditions of non-compliance. As such, the Company is regularly
monitoring the projected readiness of its service providers to establish optimal
time frames in which to invoke contingency efforts should a year 2000
                                        8
<PAGE>   9
 
transition plan fail. These contingency efforts may involve the development of
alternative operational procedures or, in a worse case scenario, requests for
proposals to identify alternative service providers prior to January 1, 2000.
Because the Company uses third parties for nearly all of its operating and
administrative activities, it has no material computer systems to maintain
itself, and as such, the cost of complying with the year 2000 issue has been,
and is expected to be, minimal.
 
     Year 2000 issues can also increase certain risks associated with of the
Company's investments. To assess the potential effect of year 2000 issues, the
Advisor reviews information regarding the year 2000 readiness of issuers of
securities the Company may purchase. However, this may be difficult with certain
issuers, since the Company primarily invests in the equity and equity-linked
debt securities of private companies which are not required to publish detailed
information regarding their year 2000 readiness. The financial impact of these
issues is under continual evaluation. There can be no assurance that potential
year 2000 problems of issuers of securities purchased by the Company would not
have a material adverse effect on the Company's performance.
 
FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES
 
     The Company completed an initial public offering of common stock of $36.5
million on December 3, 1996 and a related over-allotment option of $1.5 million
on January 15, 1997. The Company believes that the net proceeds of this offering
will be adequate to fund the growth of the Company's investment portfolio
through 2000.
 
     At March 31, 1999, the Company had $21,742,384 in cash and cash
equivalents. The Company invested the proceeds of the initial public offering on
a short-term basis pending completion of investments in equity and equity-linked
debt securities of private companies and post-venture small-cap public
companies. At March 31, 1999, the cash was primarily invested in a United States
Treasury security.
 
     At March 31, 1999, the cost of equity and equity-linked debt security
investments made to date was $16,059,543 and their aggregate market value was
$27,000,474. Management believes the companies identified have significant
potential for long-term growth in sales and earnings. Equity and equity-linked
debt security investments that individually represent more than 3% of the total
assets of the Company at March 31, 1999 were comprised of the following
transactions:
 
  Waterlink, Inc.
 
     On April 21, 1997, in connection with the Company's commitment to provide
$2.1 million of a $10 million senior subordinated note facility for Waterlink,
Inc. ("Waterlink"), the Company received warrants to purchase 26,250 shares of
Waterlink common stock at an exercise price of $4.50 per share (the "Waterlink
Warrants"). Waterlink is a consolidation strategy company in the industrial
water and wastewater treatment market. On June 27, 1997, Waterlink completed its
initial public offering of common stock. As a result, Waterlink sold 4,500,000
shares at an $11.00 per share price. Following the Waterlink initial public
offering, Waterlink terminated its senior subordinated note facility. At its
termination, the facility had not been drawn down and no notes were issued to
the Company. The Company still holds the Waterlink Warrants. At March 31, 1999,
the market price of Waterlink common Stock (NYSE:WLK) closed at $4.25. Therefore
the Company reported no market value at March 31, 1999 for the Waterlink
Warrants.
 
  Health Care Solutions, Inc.
 
     On September 30, 1997, the Company funded a $1.5 million convertible junior
subordinated promissory note facility for Health Care Solutions, Inc. ("Health
Care Solutions"). Health Care Solutions is an acquisition strategy company in
the home healthcare services market and is currently at a $50 million annual
sales rate level with a strong presence in the Midwest and Great Lakes States
region. The terms of the notes call for an 18% interest rate per annum during
the first year and 12% per annum thereafter, with final maturity two years from
the closing. After the first year, the notes are convertible into common stock
at a price of $3.50 per share. In connection with its commitment to provide this
facility, the Company received warrants to purchase up to $450,000 of common
stock valued at an exercise price of 10% of an initial public offering ("IPO")
price completed during the term of the notes, or at $3.50 per share should the
warrants be exercised other than in
                                        9
<PAGE>   10
 
connection with an IPO. The warrants are currently exercisable. The proceeds of
the notes were used by Health Care Solutions to help finance acquisitions.
 
  Fitness Quest, Inc.
 
     On December 16, 1997, the Company funded a $1.35 million commitment to
invest with Brantley Venture Partners III, L.P. in a $3.85 million preferred
stock issue for Fitness Quest, Inc. ("Fitness Quest"). As a result, the Company
purchased approximately 788,961 shares of Fitness Quest Series A Convertible
Preferred Stock at $1.71 per share. Fitness Quest is a direct marketing and
distribution company launching an acquisition strategy. A portion of the
proceeds were used by Fitness Quest for a management buy-out of the company from
its previous owner, The Time Warner Music Group, a 100% wholly owned subsidiary
of Time Warner, Inc., and the remainder was used for acquisitions. Fitness Quest
has been in the fitness promotional products business since 1994 and, at the
time of the purchase, had revenues at a $100 million annual sales rate level.
The terms of the Preferred Stock provide for payment of a 10% annual dividend,
payable quarterly.
 
     During 1997, Fitness Quest grew to $120 million in sales and improved its
operating margins and profits. The Company's Board of Directors, after a
complete evaluation, made a determination to increase the Company's market value
in its Fitness Quest investment in 1997 to $5,440,000 resulting in a 1997
unrealized gain of $4,090,000. This evaluation was based on price to earnings
ratios, cash flow multiples and other appropriate financial measurements of
similar private companies. In 1998, the operating results of Fitness Quest were
adversely impacted by the cyclical nature of its business and one-time expenses
resulting from several acquisition transactions. Consequently, 1998 sales were
approximately $90 million resulting in lower than expected profit margins.
 
     In addition to the above described Series A Convertible Preferred Stock,
the Company has funded $1,226,300 to invest with Brantley Venture Partners III,
L.P. in $ 3.5 million of senior subordinated debt investments in Fitness Quest.
The notes mature on December 31, 1999 and call for a 10% interest rate per
annum. In addition, the Company received a warrant to purchase 72,550 shares of
Fitness Quest stock for $.01 per share. The proceeds of the investment were used
to fund Fitness Quest's working capital needs.
 
  Corporate Wings, Inc.
 
     On December 23, 1997, the Company completed a $2.1 million investment with
Brantley Venture Partners III, L.P. to purchase a $6.0 million preferred stock
issue for Corporate Wings, Inc. ("Corporate Wings"). The Company's investment
consists of approximately 644,000 shares of Corporate Wings Series A Convertible
Preferred Stock at $3.26 per share. The terms of the transaction provide for an
8% annual dividend, payable quarterly. Corporate Wings' businesses include fixed
base operations, related flight management services and inertial navigation
systems repair services for private and commercial aircraft from six locations.
The proceeds of the transaction were used by Corporate Wings to continue to
execute an acquisition strategy. Corporate Wings has been in business since 1978
and had sales of approximately $40 million in 1997.
 
     On December 29, 1998, the Company announced the completion of a second
private equity investment in Corporate Wings, Inc. As a result, the Company
purchased $962,500 of a $5.5 million preferred stock transaction led by The
Provident Bank. The Company also agreed to purchase approximately 65,034 shares
of a Series A Convertible Preferred Stock at $14.80 per share. The terms of the
transaction provide for an 8% dividend payable quarterly. Proceeds will be used
to fund the expansion of Corporate Wings' Flight Option program and to continue
to execute an acquisition strategy. During 1998, Corporate Wings completed the
acquisition of Miller Aviation and grew to over $125 million in annual revenues.
As a result of the price of this subsequent financing, which was led by
Provident Bank, and the superior operating performance of Corporate Wings during
1998, the market value of the Company's original investment in Corporate Wings
was increased to $9,531,760 resulting in an unrealized gain of $7,431,760. This
valuation was based on the $14.80 per share price negotiated by The Provident
Bank and approved by the Company's Board of Directors.
 
                                       10
<PAGE>   11
 
  Disposable Products Company, LLC
 
     On August 10, 1998, the Company entered into an investment led by Banc One
Capital to provide $1.0 million of a $3.0 million subordinated debt facility
with warrants to Disposable Products Company, LLC. ("DPC"). DPC is an
acquisition strategy company in the business of manufacturing and converting
paper and nonwoven materials into wiping products for sale to commercial,
institutional, industrial and government markets. In addition, DPC is also a
converter and reseller of other safety and industrial/janitorial products. Upon
completion of a pending acquisition, DPC will have revenues of approximately $25
million. The terms of the debt facility call for a 12% interest rate per annum
with a final maturity five years from the closing. Brantley also received a
detachable common stock purchase warrant exercisable into 5% of the
fully-diluted common stock of the company at the time of exercise at a nominal
exercise price. The proceeds of the facility were used to finance acquisitions.
 
  Pediatric Physicians Alliance, Inc.
 
     On January 28, 1999, the Company announced the completion of a $3.172
million investment with Brantley Venture Partners III, L.P. in a $7.934 million
preferred stock issue for Pediatric Physicians Alliance, Inc. Pediatric
Physicians Alliance is a physician practice management company that develops
integrated pediatric networks of care. The company's objective is to develop the
leading physician-based integrated pediatric organization in the United States.
The proceeds of the transaction were used to complete the acquisition of a
number of physician practices. Upon acquiring these practices, Pediatric
Physicians Alliance has annualized revenues of approximately $30 million. The
Company purchased 793,000 shares of Class A-2 Convertible Preferred Stock. The
terms of the transaction provide for a 10% dividend payable quarterly.
 
     Brantley Venture Partners II, L.P., Brantley Venture Partners III, L.P. and
Brantley Partners IV, L.P. (collectively, the "Partnerships") hold, in the
aggregate, approximately $200 million of venture capital private equity
investments. The Partnerships are related to the Investment Adviser in a manner
that requires exemption from certain provisions of the Act be obtained from the
Commission in order to permit, under certain circumstances, the Company, the
Investment Adviser and the Partnerships to invest in the same portfolio
companies. As a result, the Company and the Partnerships filed an application on
March 6, 1997 with the Commission seeking an exemptive order permitting the
Company, under certain circumstances, to invest in securities of issuers in
which one of the Partnerships also intends to invest. The staff of the
Commission granted the exemptive order on November 18, 1997.
 
     At March 31, 1999, the Company had stockholders' equity of $48,644,727,
resulting in a net asset value per share of $12.77.
 
RECENT DEVELOPMENTS
 
     On April 22, 1999, the Company entered into a $1.7 million commitment to
invest with Brantley Partners IV, L.P. and Massey Burch Capital Corp. in a $10.0
million preferred stock issue for Business Essentials, Inc. ("BEI"). BEI is a
$26.0 million office products marketing and distribution company based in
Nashville, Tennessee. The first $6.0 million of the commitment was funded to
launch an acquisition strategy focused on office distribution companies serving
primarily commercial and industrial customers. The remaining commitment will be
funded upon the closing of additional acquisitions. As a result of the initial
closing, the Company has purchased 510,000 shares of Class A Convertible
Preferred Stock at $2.00 per share. The terms of the transaction provide for an
8% annual dividend, paid quarterly.
 
IMPACT OF INFLATION
 
     The Company does not believe that its business is materially affected by
inflation, other than the impact which inflation may have on the securities
markets, the valuations of business enterprises and the relationship of such
valuations to underlying earnings, all of which will influence the value of the
Company's investments.
 
                                       11
<PAGE>   12
 
RISKS
 
     Pursuant to Section 64(b)(1) of the Act, a business development company is
required to describe the risk factors involved in an investment in the
securities of such company due to the nature of the company's investment
portfolio. Accordingly, the Company states that its objective is to achieve
capital appreciation through investments in businesses believed to have
favorable growth potential. Such businesses are often undercapitalized small
companies which can lack management depth and have not yet attained levels of
consistent profitability. The Company's private equity investments often include
securities which are subject to legal or contractual restrictions on resale,
which restrictions adversely affect the liquidity and marketability of such
securities.
 
     The Company considers the management of equity price risk essential to
conducting its business and maintaining its profitability. The Company manages
this risk by maintaining a diverse portfolio of equity and equity-linked debt
securities. A portion of the Company's investment portfolio consists of equity
and equity-linked debt securities in private companies. The Company would
anticipate no impact on these investments from modest changes in public market
equity prices. However, should significant changes in market prices occur, there
could be a longer-term effect on valuations of private companies, which could
affect the carrying value and the amount and timing of gains realized on these
investments. A portion of the Company's investment portfolio also consists of
common stocks and warrants to purchase common stocks in publicly traded
companies. These investments are directly exposed to equity price risk, in that
a hypothetical ten percent change in these equity prices would result in a
similar percentage change in the fair market value of these investments.
 
     Because of the speculative nature of the Company's investments and the lack
of any market for the securities initially purchased by the Company, there is a
significantly greater risk of loss than is the case with traditional investment
securities. The high-risk, long-term nature of the Company's private equity
investment activities may prevent shareholders of the Company from achieving
price appreciation and dividend distributions.
 
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK
 
     The information set forth under Item 2 -- Risks of this Quarterly Report on
Form 10-Q is incorporated herein by reference.
 
                          PART II.   OTHER INFORMATION
 
ITEM 6. EXHIBITS AND REPORTS ON FORM 8-K
 
     a. Exhibits
      Reference is made to the Exhibit Index that is found on page 14 of this
     Form 10-Q.
 
     b. Reports on Form 8-K
       No reports on Form 8-K have been filed during the quarter for which this
     Form 10-Q is filed.
 
                                       12
<PAGE>   13
 
                                   SIGNATURES
 
     Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
 
                                          BRANTLEY CAPITAL CORPORATION
 
<TABLE>
<S>                                                      <C>
 
Date: May 13, 1999                                       By: /s/ ROBERT P. PINKAS
                                                         --------------------------------------------------------
                                                             Robert P. Pinkas
                                                             Chief Executive Officer
 
Date: May 13, 1999                                       By: /s/ TAB A. KEPLINGER
                                                         --------------------------------------------------------
                                                             Tab A. Keplinger
                                                             Chief Financial Officer
</TABLE>
 
                                       13
<PAGE>   14
 
                                 EXHIBIT INDEX
 
     The following exhibits are filed with this report or are incorporated
herein by reference to a prior filing, in accordance with Rule 12b-32 under the
Securities Exchange Act of 1934. (Asterisk denotes exhibits filed with this
report.)
 
<TABLE>
<C>          <S>
 
  EXHIBIT 3  Articles of Incorporation and By-laws
        (1)  Articles of Amendment and Restatement of the Charter of
             Brantley Capital Corporation
        (2)  Amended and Restated Bylaws of the Company
 
  EXHIBIT 4  Form of Share Certificate (Exhibit 2.d to amendment No. 1 to
             the Registration Statement filed on October 30, 1996, which
             exhibit is incorporated herein by reference)
 
 EXHIBIT 10  Material Contracts
        (1)  Dividend Reinvestment and Cash Purchase Plan (Exhibit 2.e to
             Amendment No. 3 to the Registration Statement filed on
             November 26, 1996, which exhibit is incorporated herein by
             reference)
        (2)  Form of Investment Advisory Agreement between the Registrant
             and the Investment Advisor (Exhibit 2.g to Amendment No. 3
             to the Registration Statement filed on November 26, 1996,
             which exhibit is incorporated herein by reference)
        (3)  Stock Option Plan and form of Option Grants (Exhibit 2.i.1
             to Amendment No. 2 to the Registration Statement filed on
             November 22, 1996, which exhibit is incorporated herein by
             reference)
        (4)  Disinterested Director Option Plan and Form of Option Grants
             (Exhibit 2.i.2 to Amendment No. 2 to the Registration
             Statement filed on November 22, 1996, which exhibit is
             incorporated herein by reference)
        (5)  Form of Custodian Contract (Exhibit 2.j to Amendment No. 2
             to the Registration Statement filed on November 22, 1996,
             which exhibit is incorporated herein by reference)
        (6)  Form of Registrar, Transfer Agency and Service Agreement
             (Exhibit 2.k.1 to Amendment No. 2 to the Registration
             Statement filed on November 22, 1996, which exhibit is
             incorporated herein by reference)
        (7)  Form of Administration Agreement (Exhibit 2.k.2 to Amendment
             No. 2 to the Registration Statement filed on November 22,
             1996, which exhibit is incorporated herein by reference)
        (8)  Form of Indemnification Agreement for Directors and Officers
             (Exhibit 2.s to Amendment No. 2 to the Registration
             Statement filed on November 22, 1996, which exhibit is
             incorporated herein by reference)
 
 EXHIBIT 27  Financial Data Schedule
</TABLE>
 
                                       14