Question / Help Audio from headset while using a capture card?

Is it possible to capture a consoles audio through my headset using a capture card? Basically I want the game audio to come through my headset so my mic does not pick up my tv audio. Is this possible? is it an option on the capture card?

The card I will be using is the XCAPTURE-1 USB 3.0 HD Capture Unit
 
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