Currently, the high added-value compounds contained in plant by-products and wastes offer a wide spectrum of opportunities for their reuse and valorization, contributing to the circular economy. The bell pepper (Capsicum annum L.) is an exotic vegetable with high nutritional value that, after processing, leaves wastes (peel, seeds, and leaves) that represent desirable raw material for obtaining phytochemical compounds. This review summarizes and discusses the relevant information on the phytochemical profile of bell peppers and their related biological properties as an alternative to revalorize losses and wastes from bell peppers for their application in the food and pharmaceutical industries. Bell pepper fruits, seeds, and leaves contain bioactive compounds (phenols, flavonoids, carotenoids, tocopherol, and pectic polysaccharides) that exhibit antioxidant, antibacterial, antifungal, immunosuppressive and immunostimulant properties, and antidiabetic, antitumoral and neuroprotective activities, and have a potential use as functional food additives. In this context, the revalorization of food waste is positioned as a technological and innovative research area with beneficial effects for the population, the economy, and the environment. Further studies are required to guarantee the safety use of these compounds and to understand their mechanisms of action.