This paper investigates the integration of beyond-diagonal reconfigurable intelligent surfaces (BD-RISs) into cell-free massive multiple-input multiple-output (CF-mMIMO) systems, focusing on applications involving simultaneous wireless information and power transfer (SWIPT). The system supports concurrently two user groups: information users (IUs) and energy users (EUs). A BD-RIS is employed to enhance the wireless power transfer (WPT) directed towards the EUs. To comprehensively evaluate the system's performance, we present an analytical framework for the spectral efficiency (SE) of IUs and the average harvested energy (HE) of EUs in the presence of spatial correlation among the BD-RIS elements and for a non-linear energy harvesting circuit. Our findings offer important insights into the transformative potential of BD-RIS, setting the stage for the development of more efficient and effective SWIPT networks. Finally, incorporating a heuristic scattering matrix design at the BD-RIS results in a substantial improvement compared to the scenario with random scattering matrix design.