I had one spy at another civ, I click next year, and it says "no spies" lol.

Does that mean he/she has been caught?

You must be talking about MoO2. The answer must be yes. Spies sent against others are usually lost very soon.

Nah mate, im playing MoO 1 (classic)

Oh! Here is a tidbit: The numbers for spies in the first game are pretty close to pure fiction. It might state 20 spies on some empire and you get nothing done via them or you can have no spies inserted but have moved the slider a bit up from nothing and get a spy action. Remember it is important to not have (much) lower computer tech than the opponent you are trying to steal from or commit covert actions against.

Got it! thanks mate :D

IIRC, one of the spy rules in the original game is that when it rolls for your spies, if one of them rolls a "critical failure" type value, it means they confessed to their captors and compromised your entire spy network in that empire, which could explain why all the spies disappeared. So spending a lot to have a large spy network, especially if your spies aren't that great, isn't necessarily going to net you more than if you just sent a few.