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The motility mechanism of certain rod-shaped bacteria has long been a mystery, since no external appendages are involved in their motion which is known as gliding. However, the physical principles behind gliding motility still remain poorly understood. Using myxobacteria as a canonical example of such organisms, we identify here the physical principles behind gliding motility, and develop a theoretical model that predicts a two-regime behavior of the gliding speed as a function of the substrate stiffness. Our theory describes the elastic, viscous, and capillary interactions between the bacterial membrane carrying a traveling wave, the secreted slime acting as a lubricating film, and the substrate which we model as a soft solid. Defining the myxobacterial gliding as the horizontal motion on the substrate under zero net force, we find the two-regime behavior is due to two different mechanisms of motility thrust. On stiff substrates, the thrust arises from the bacterial shape deformations creating a flow of slime that exerts a pressure along the bacterial length. This pressure in conjunction with the bacterial shape provides the necessary thrust for propulsion. However, we show that such a mechanism cannot lead to gliding on very soft substrates. Instead, we show that capillary effects lead to the formation of a ridge at the slime-substrate-air interface, which creates a thrust in the form of a localized pressure gradient at the tip of the bacteria. To test our theory, we perform experiments with isolated cells on agar substrates of varying stiffness and find the measured gliding speeds to be in good agreement with the predictions from our elasto-capillary-hydrodynamic model. The physical mechanisms reported here serve as an important step towards an accurate theory of friction and substrate-mediated interaction between bacteria in a swarm of cells proliferating in soft media., Comment: Main article (8 pages and 8 figures) and Supplementary Information