In Karl Marx and the Future of the Human, Cyril Smith makes a statement on this that can be found here:
The odd word "Diesseitigkeit" might carry a bit more weight than is sometimes imagined. It is chosen as the opposite of the much more common "Jenseitigkeit", "other-worldliness" or transcendence.
I think the terminology refers to Hegel, e.g. to his Phenomenology of Spirit, where he writes in the Chapter III Force and the understanding;
appearance and the supersensible world:
In this, the “inner true,” as the
absolutely universal which is purified of
the opposition of universal and individual
and which has come to be for the
understanding, what is disclosed for the
first time and henceforth is a supersensible
world as the true world over and above the
sensuous world as the appearing world.
That is, over and above the vanishing this-
worldliness [Diesseits], there is disclosed an persisting
other-worldly beyond [Jenseits], an in-itself which is
the first and therefore incomplete
appearance of reason, that is, which is the
pure element in which the truth has its
Diesseitigkeit is an adjectivation of the noun Diesseits (translation: this world), Jenseitigkeit accordingly of Jenseits (translation: the other world).
As another possible direction, the Historisch-kritisches Wörterbuch des Marxismus [Historic-Critical Dictionary of Marxism](German, found here) states regarding the actual relation to Feuerbach that Marx' criticism is aiming primarily at Wesen des Christentums [The Essence of Christianity] and thesis two is about the concept of Gattung [Category?!, not sure] there. But as I'm not into Feuerbach, I cannot give any more specification on that.
I actually think with Cyril Smith that his materialism is here to be thought as a statement against the priority of thought in dualism and idialism (and, taking the answer of @KentaroTotomo, Feuerbach's wannabe materialism), but would add that as Feuerbach wrote about Christianity, also against the priority of afterlife in there: Thought and truth are not "of another world" and there are no things in themselves, therefore the truth (and good!) can be proven (and have to be!) in practice, that means in a change of this world. This is coherent to the general line of attack in his Theses. Hence, Diesseitigkeit has nothing to do with capitalism.