They are considered "proper nouns" and capitalized in English. But this is more of a stylistic question than a linguistics question.
One type of linguistic evidence for there being a distinction in some cases is that some names can't be pluralized very easily. "The Smiths have arrived" is a possible way to say there are several people with the last name Smith, but it is not entirely natural, and it is difficult for some names.
But some nationalities or traditional ethnic groups and tribes can be very easily pluralized (while others can't).
