Chilling stress limits the productivity and geographical distribution of many organisms throughout the world. In plants, the small heat shock proteins (sHSPs) belong to a group of proteins known as chaperones. The sweet pepper (Capsicum annuum L.) cDNA clone CaHSP22.5, which encodes an endoplasmic reticulum-located sHSP (ER-sHSP), was isolated and introduced into tobacco (Nicotiana tabacum L.) plants and Escherichia coli. The performance index and the maximal efficiency of PSII photochemistry (Fv/Fm) were higher and the accumulation of H2O2 and superoxide radicals (O2–) was lower in the transgenic lines than in the untransformed plants under chilling stress, which suggested that CaHSP22.5 accumulation enhanced photochemical activity and oxidation resistance. However, purified CaHSP22.5 could not directly reduce the contents of H2O2 and O2– in vitro. Additionally, heterologously expressed recombinant CaHSP22.5 enhanced E. coli viability under oxidative stress, helping to elucidate the cellular antioxidant function of CaHSP22.5 in vivo. At the same time, antioxidant enzyme activity was higher, which was consistent with the lower relative electrolyte conductivity and malondialdehyde contents of the transgenic lines compared with the wild-type. Furthermore, constitutive expression of CaHSP22.5 decreased the expression of other endoplasmic reticulum molecular chaperones, which indicated that the constitutive expression of ER-sHSP alleviated endoplasmic reticulum stress caused by chilling stress in plants. We hypothesise that CaHSP22.5 stabilises unfolded proteins as a chaperone and increases the activity of reactive oxygen species-scavenging enzymes to avoid oxidation damage under chilling stress, thereby suggesting that CaHSP22.5 could be useful for improving the tolerance of chilling-sensitive plant types.