Thank you for sending me your screenshot.
However, it can be difficult to determine the cause of a problem from just a screenshot alone.
I may need to see the web page that the gallery is embedded into and the gallery's configuration options.
The problem could possibly be a conflict with some custom CSS that you have on your web page or a certain combination of configuration options. (Unfortunately, I can't tell from a screenshot and I do not know if your gallery is embedded on a web page alongside other content).
Here are a couple of things to check which might help:
(1) Check, using your browser's developer tools (usually accessed via F12), to see if the spacing is due to any of your own custom CSS (if you use any). If you use any global CSS rules which the gallery is inheriting, I would recommend that you apply these rules to only those elements on your web page which require them through use of CSS selectors.
(2) One possible reason for there being a gap between the bottom of the captions and the top of the thumbnails is if you were to set:
galleryTitle=""
galleryTitlePosition="ABOVE_THUMBS"
If you have set galleryTitlePosition="ABOVE_THUMBS" and use an empty galleryTitle, then just set galleryTitlePosition="NONE"instead.
If neither of the suggestions above help, then if at all possible, please send me a zipped version of your gallery and the web page it is embedded into (or upload it somewhere and provide a download link) so that I can investigate further. Thank you.