Myeloblastosis (MYB) genes are important transcriptional regulators of plant growth, development, and secondary metabolic biosynthesis pathways, such as capsaicinoid biosynthesis in Capsicum. Although MYB genes have been identified in Capsicum annuum, no comprehensive study has been conducted on other Capsicum species. We identified a total of 251 and 240 MYB encoding genes in Capsicum chinense MYBs (CcMYBs) and Capsicum baccatum MYBs (CbMYBs). The observation of twenty tandem and 41 segmental duplication events indicated expansion of the MYB gene family in the C. chinense genome. Five CcMYB genes, i.e., CcMYB101, CcMYB46, CcMYB6, CcPHR8, and CcRVE5, and two CaMYBs, i.e., CaMYB3 and CaHHO1, were found within the previously reported capsaicinoid biosynthesis quantitative trait loci. Based on phylogenetic analysis with tomato MYB proteins, the Capsicum MYBs were classified into 24 subgroups supported by conserved amino acid motifs and gene structures. Also, a total of 241 CcMYBs were homologous with 225 C. annuum, 213 C. baccatum, 125 potato, 79 tomato, and 23 Arabidopsis MYBs. Synteny analysis showed that all 251 CcMYBs were collinear with C. annuum, C. baccatum, tomato, potato, and Arabidopsis MYBs spanning over 717 conserved syntenic segments. Using transcriptome data from three fruit developmental stages, a total of 54 CcMYBs and 81 CaMYBs showed significant differential expression patterns. Furthermore, the expression of 24 CcMYBs from the transcriptome data was validated by quantitative real-time (qRT) PCR analysis. Eight out of the 24 CcMYBs validated by the qRT-PCR were highly expressed in fiery hot C. chinense than in the lowly pungent C. annuum. Furthermore, the co-expression analysis revealed several MYB genes clustered with genes from the capsaicinoid, anthocyanin, phenylpropanoid, carotenoid, and flavonoids biosynthesis pathways, and related to determining fruit shape and size. The homology modeling of 126 R2R3 CcMYBs showed high similarity with that of the Arabidopsis R2R3 MYB domain template, suggesting their potential functional similarity at the proteome level. Furthermore, we have identified simple sequence repeat (SSR) motifs in the CcMYB genes, which could be used in Capsicum breeding programs. The functional roles of the identified CcMYBs could be studied further so that they can be manipulated for Capsicum trait improvement.