Capsaicinoids are active constituents responsible for the pungent and spicy flavor in chili peppers. During the past few decades, various extraction methods of capsaicinoids from peppers have been developed with high yields. Through biological studies, pharmacological benefits have been reported such as pain relief, antiinflammation, anticancer, cardio-protection, as well as weight loss. In this paper, the extraction methods and bioavailability of capsaicinoids are reviewed and discussed. In addition, the pharmacological effects and their underlying mechanisms are also studied.