Drought is an important abiotic stress factor that severely affects plant growth, especially in arid and semi-arid regions. The effect of limited irrigation on plant growth and its response depending on growth stages is critical for agriculture in these regions. This study was conducted to understand how different pepper species (C. annuum L. and C. chinense Jacq.) respond to drought conditions. Plants were subjected to four different irrigation regimes (100% field capacity (FC), 75% FC, 50% FC, and 25% FC) and three developmental stages (S1: 20 days after flowering, S2: 40 days after flowering, and S3: 60 days after flowering). The effects of drought on plant morphological growth, photosynthetic pigment content in leaves, phytochemical components [total phenolics (TPh), total flavonoids (TFv), and total antioxidant activity (TAa)], proline (PRL), protein (PRO), malondialdehyde (MDA), and activities of major antioxidant enzymes [catalase (CAT), superoxide dismutase (SOD), and peroxidase (POD)] were investigated. According to the results, drought had a negative effect on plant morphology and physiology of both species, and these effects differed between plant species. The amounts of phytochemicals, MDA, PRO, PRL, and antioxidant enzymes increased in higher percentages with increasing drought severity (especially at S2 and S3 growth stages) in C. annuum. Moreover, antioxidative enzyme activities were significantly higher in C. annuum with increasing stress severity, helping the species to overcome oxidative stress under drought conditions. In conclusion, the findings showed that C. annuum is a drought-tolerant species with much more stable morphological, physiological, and biochemical performances compared to C. chinense.