Whatever you do, DO NOT study Trump’s tweets for a lesson in capitalization. He seems to have zero idea of when to use capital letters and just does so at will, most often for emphasis. Of course, when you emphasize everything, you end up emphasizing nothing.
Here’s the deal: If you are writing the official name of something, capitalize it:
I went to Hollywood High School. But I went to high school in Hollywood. My high school was in Hollywood.
She was born in Children’s Hospital of Philadelphia. But She was born in a hospital in Philadelphia. The hospital she was born in was in Philadelphia.
If the word you are using is not the official name of the thing you are citing, use lower case. In addition, the word the is rarely part of anything’s official name. It’s not The Statue of Liberty. Use lower case for the word the.