If you’re writing about a geographic direction, do not capitalize the word:
We drove south on the San Diego Freeway for close to 75 miles. Boston is north of Providence.
However, if you are writing about a geographic area, do capitalize the word or words:
Charlie was born in the Midwest. Jamal works in the North. Eddie was married in Southern Maine. Syria is in the Middle East. Good restaurants abound in the Pacific Northwest.