Winchester was the capital of the kings of Wessex; however, the rulers of most of the south and east of England had their capital in Colchester. Before the Romans arrived, that was the headquarters of Cunobelin - better known as Shakespeare's Cymbeline. It was the first true 'Roman' town in Britain and there wasn't really an entity called "England" until hundreds of years later, since there were independent rulers in Cumbria, the Danelaw and so on.