Interceptors are registered like regular components in Windsor. Like other components, they can depend on another components.
With following service for validating credentials:
public interface ICredentialsVerifier
{
    bool IsAuthorizedForService(NetworkCredential credentials);
}
public class MockCredentialsVerifier : ICredentialsVerifier
{
    public bool IsAuthorizedForService(NetworkCredential credentials)
        => credentials.UserName == "tom" && credentials.Password == "pass123";
        // this ^ verification is obviously silly, never do real security like this
}
We can use the following interceptor:
public class AuthorizationInterceptor : IInterceptor
{
    private readonly ICredentialsVerifier _credentialsVerifier;
    public AuthorizationInterceptor(ICredentialsVerifier credentialsVerifier)
    {
        _credentialsVerifier = credentialsVerifier;
    }
    public void Intercept(IInvocation invocation)
    {
        var userCredentials = invocation.Arguments[0] as NetworkCredential;
        if (_credentialsVerifier.IsAuthorizedForService(userCredentials))
        {
            invocation.Proceed();
        }
        else
        {
            invocation.ReturnValue = $"User '{userCredentials.UserName}' was not authenticated.";
        }
    }
}
We just have to properly register it in the composition root like this:
var container = new WindsorContainer();
container.Register(
    Component.For<AuthorizationInterceptor>(),
    Component.For<ICredentialsVerifier>().ImplementedBy<MockCredentialsVerifier>(),
    Component.For<IService>().ImplementedBy<Service>().Interceptors<AuthorizationInterceptor>());
var service = container.Resolve<IService>();