Capsaicinoids, the pungent principles of chili peppers and prototypical activators of the transient receptor potential of the vanilloid type-1 (TRPV1) channel, which is a member of the expanded endocannabinoid system known as the endocannabinoidome (eCBome), counteract food intake and obesity. In this exploratory study, we examined the blood and stools from a subset of the participants in a cohort of reproductive-aged women with overweight/obesity who underwent a 12-week caloric restriction of 500 kcal/day with the administration of capsaicinoids (two capsules containing 100 mg of a capsicum annuum extract (CAE) each for a daily dose of 4 mg of capsaicinoids) or a placebo. Samples were collected immediately before and after the intervention, and plasma eCBome mediator levels (from 23 participants in total, 13 placebo and 10 CAE) and fecal microbiota taxa (from 15 participants in total, 9 placebo and 6 CAE) were profiled using LC–MS/MS and 16S metagenomic sequencing, respectively. CAE prevented the reduced caloric-intake-induced decrease in beneficial eCBome mediators, i.e., the TRPV1, GPR119 and/or PPARα agonists, N-oleoyl-ethanolamine, N-linoleoyl-ethanolamine and 2-oleoyl-glycerol, as well as the anti-inflammatory N-acyl-ethanolamines N-docosapentaenyl-ethanolamine and N-docosahexaenoyl-ethanolamine. CAE produced few but important alterations in the fecal microbiota, such as an increased relative abundance of the genus Flavonifractor, which is known to be inversely associated with obesity. Correlations between eCBome mediators and other potentially beneficial taxa were also observed, thus reinforcing the hypothesis of the existence of a link between the eCBome and the gut microbiome in obesity.