Pepper, as a vegetable crop with a wide cultivation area worldwide, besides being a significant condiment and food, also has a momentous use for chemistry, medicine, and other industries. Pepper fruits are rich in various pigments, such as chlorophyll, carotenoids, anthocyanins, and capsanthin, which have important healthcare and economic value. Since various pigments are continuously metabolized during the development of pepper fruits, peppers exhibit an abundant fruit-colored phenotype in both the mature and immature periods. In recent years, great progress has been made in the study of pepper fruit color development, but the developmental mechanisms are still unclear systematically dissected in terms of pigment, biosynthesis, and regulatory genes. The article outlines the biosynthetic pathways of three important pigments: chlorophyll, anthocyanin, and carotenoid in pepper and the various enzymes involved in these pathways. The genetics and molecular regulation mechanisms of different fruit colors in immature and mature peppers were also systematically described. The objective of this review is to provide insights into the molecular mechanisms of pigments biosynthesis in pepper. This information will provide theoretical basis for the breeding of high-quality colored pepper varieties in the future.