In titles, do you capitalize all words in a proverb like "Better late than never" or only the first word?
Rules for capitalisation (US: capitalization) of titles vary. The rules for a particular case will generally be found in a style guide, and most academic institutions and publishers either have their own, or require you to use one which they will indicate.
Most style guides require the following:
Capitalise the first and last word of any title.
Capitalize nouns, pronouns, verbs, adjectives, and adverbs.
Do not capitalize articles, prepositions, or coordinating conjunctions.
Thus, most style guides would require your title to be thus: Better (adverb) Late (adjective/adverb) than (preposition) Never (adverb, and also last word).