Capsaicin has been used in clinical applications for the treatment of pain disorders and inflammatory diseases. Given the strong pungency and high oil/water partition coefficient of capsaicin, capsaicin-loaded nanolipoidal carriers (NLCs) were designed to increase permeation and achieve the analgesic, anti-inflammatory effect with lower skin irritation. Capsaicin-loaded NLCs were prepared and later optimized by the Box–Behnken design. The physicochemical characterizations, morphology, and encapsulation of the capsaicin-loaded NLCs were subsequently confirmed. Capsaicin-loaded NLCs and capsaicin-loaded NLCs gel exhibited sustained release and no cytotoxicity properties. Also, they could significantly enhance the penetration amount, permeation flux, and skin retention amounts of capsaicin due to the application of NLCs. To study the topical permeation mechanism of capsaicin, 3,3′-dioctadecyloxacarbocyanine perchlorate (Dio) was used as a fluorescent dye. Dio-loaded NLCs and Dio-loaded NLCs gel could effectively deliver Dio up to a skin depth of 260 and 210 μm, respectively, primarily through the appendage route on the basis of version skin sections compared with Dio solution, which only delivered Dio up to 150 μm. In vivo therapeutic experiments demonstrated that capsaicin-loaded NLCs and capsaicin-loaded NLCs gel could improve the pain threshold in a dose-dependent manner and inhibit inflammation, primarily by reducing the prostaglandin E2 levels in the tissue compared with capsaicin cream and capsaicin solution. Meanwhile, skin irritation was reduced, indicating that application of NLCs could decrease the irritation caused by capsaicin. Overall, NLCs may be a potential carrier for topical delivery of capsaicin for useful pain and inflammation therapy.