Capitalization of hyphenated words in general is really more a question of style than anything else.
In other word, choose a rule and be consistent with it:
From Garbl's writing center:
When capitalizing hyphenated words in a title, choose a style and follow it consistently.
- Simplest is to capitalize only the first word unless later words are proper nouns or adjectives:
Unique benefits for part-time violinists,
All-American flag-waving techniques.
- Second is to capitalize all words except articles, short prepositions and short conjunctions:
Over-the-Counter Acid Reducers for Sale Here,
A Matter-of-Fact Approach to Guitar Tuning,
A New Park-and-Ride Lot for Commuters.
Optional exceptions to the second style are to lowercase the word after a prefix unless it is a proper noun or adjective and to lowercase the second word in a spelled out number:
Twenty-first Century Values.
In your case, since "ex-" is a prefix:
My Ex-wife Hates Me