Chili pepper is an important economic vegetable worldwide. MYB family gene members play an important role in the metabolic processes in plant growth and development. In this study, 103 pepper MYB-related members were identified and grouped into nine subfamilies according to phylogenetic relationships. Additionally, a total of 80, 20, and 37 collinear gene pairs were identified between pepper and tomato, pepper and Arabidopsis, and tomato and Arabidopsis, respectively. We performed promoter cis-element analysis and showed that CaMYB-related members may be involved in multiple biological processes such as growth and development, secondary metabolism, and circadian rhythm regulation. Expression pattern analysis indicated that CaMYB37 is significantly more enriched in fruit placenta, suggesting that this gene may be involved in capsaicin biosynthesis. Through VIGS, we confirmed that CaMYB37 is critical for the biosynthesis of capsaicin in placenta. Our subcellular localization studies revealed that CaMYB37 localized in the nucleus. On the basis of yeast one-hybrid and dual-luciferase reporter assays, we found that CaMYB37 directly binds to the promoter of capsaicin biosynthesis gene AT3 and activates its transcription, thereby regulating capsaicin biosynthesis. In summary, we systematically identified members of the CaMYB-related family, predicted their possible biological functions, and revealed that CaMYB37 is critical for the transcriptional regulation of capsaicin biosynthesis. This work provides a foundation for further studies of the CaMYB-related family in pepper growth and development.