Pliny the Elder, in his Natural History, gives several examples of how captured elephants were part of Roman triumphs. The two earliest examples are after the battles of Beneventum (against Pyrrhus) and Panormos (against Carthago).
What happened to the elephants after being paraded around is not entirely clear to Pliny, but some of his sources said they were killed because the Romans did not know what to do with so many elephants. (Also note that there seems to be a slight problem with the year of the Panormos battle in Pliny's account):
Elephants were seen in Italy, for the first time, in the war with King Pyrrhus, in the year of the City 472 [281 BCE]; they were called "Lucanian oxen," because they were first seen in Lucania. Seven years after this period [i.e. in 274 BCE], they appeared at Rome in a triumph. In the year 502 [251 BCE] a great number of them were brought to Rome, which had been taken by the pontiff Metellus, in his victory gained in Sicily over the Carthaginians; they were one hundred and forty-two in number, or, as some say, one hundred and forty, and were conveyed to our shores upon rafts, which were constructed on rows of hogsheads joined together. Verrius informs us, that they fought in the Circus, and that they were slain with javelins, for want of some better method of disposing of them; as the people neither liked to keep them nor yet to give them to the kings. L. Piso tells us only that they were brought into the Circus; and for the purpose of increasing the feeling of contempt towards them, they were driven all round the area of that place by workmen, who had nothing but spears blunted at the point. The authors who are of opinion that they were not killed, do not, however, inform us how they were afterwards disposed of.
(source, via wp and another online source)