Low temperature combined with low light (LL) affects crop production, especially the yield and quality of peppers, in northwest China during the winter and spring seasons. Zeaxanthin (Z) is a known lipid protectant and active oxygen scavenger. However, whether exogenous Z can mitigate LL-induced inhibition of photosynthesis and oxidative stress in peppers remains unclear. In this study, we investigated the effects of exogenous Z on photosynthesis and the antioxidant machinery of pepper seedlings subject to LL stress. The results showed that the growth and photosynthesis of pepper seedlings were significantly inhibited by LL stress. In addition, the antioxidant machinery was disturbed by the uneven production and elimination of reactive oxygen species (ROS), which resulted in damage to the pepper. For example, membrane lipid peroxidation increased ROS content, and so on. However, exogenous application of Z before LL stress significantly increased the plant height, stem diameter, net photosynthetic rate (Pn), and stomata, which were obviously closed at LL. The activities of antioxidant enzymes superoxide dismutase (SOD), catalase (CAT), mono de-hydroascorbate reductase (MDHAR), de-hydroascorbate reductase (DHAR), ascorbate peroxidase (APX), and ascorbate oxidase (AAO) improved significantly due to the increased expression of CaSOD, CaCAT, CaAPX, CaMDHAR, and CaDHAR. The ascorbic (AsA) and glutathione (GSH) contents and ascorbic/dehydroascorbate (AsA/DHA) and glutathione/oxidized glutathione (GSH/GSSG) ratios also increased significantly, resulting in the effective removal of hydrogen peroxide (H2O2) and superoxide anions (O2•−) caused by LL stress. Thus, pre-treatment with Z significantly reduced ROS accumulation in pepper seedlings under LL stress by enhancing the activity of antioxidant enzymes and accumulation of components of the ascorbate–glutathione (AsA–GSH) cycle and upregulated key genes in the AsA–GSH cycle.