This study aimed to investigate the thermal behavior and composition of volatile compounds, fatty acids and polyphenols in paprika obtained from peppers of different countries. The thermal analysis revealed various transformations in the paprika composition, namely drying, water loss and decomposition of volatile compounds, fatty acids, amino acids, cellulose, hemicellulose and lignin. The main fatty acids found in all paprika oils were linoleic (20.3–64.8%), palmitic (10.6–16.0%) and oleic acid (10.4–18.1%). A notable amount of omega-3 was found in spicy paprika powder varieties. The volatile compounds were classified into six odor classes (citrus (29%), woody (28%), green (18%), fruity (11%), gasoline (10%) and floral (4%)). The total polyphenol content ranged between 5.11 and 10.9 g GA/kg.