Capsicum genus (Solanaceae) is native to the Americas. Today, it is an important agricultural crop cultivated around the world, not only due to its economic importance, but also for the nutritional value of the fruits. Among their phytochemical constituents, capsaicinoids are characteristic and responsible of the pungency of sharp-tasting cultivars. Moreover, Capsicum and capsaicinoids (mainly, capsaicin) have been largely studied because of their health benefits. Thus, this study reviews the scientific knowledge about Capsicum spp. and their phytochemicals against cancer, diabetes, gastrointestinal diseases, pain, and metabolic syndrome, as well as their antioxidant and antimicrobial activity. These bioactivities can be the basis of the formulation of functional ingredients and natural preservatives containing Capsicum extracts or isolated compounds.