Raw and cooked (boiled and grilled) Poblano, Bell, Chilaca, Caribe, Jalapeño, Serrano, Habanero, and Manzano peppers were evaluated for tristimulus colour, capsaicinoids (capsaicin, dihydrocapsaicin, nordihydrocapscapsaicin), and total phenolic contents. Boiling (96 °C) and grilling (210 °C) was performed under household conditions according to typical procedures of the Mexican cuisine. Contents of capsaicin (0.6–913.8 μg/g), dihydrocapsaicin (0–756.9 μg/g), nordihydrocapsaicin (0–68.2 μg/g), and total phenolics (1150.5–2190.0 μg of gallic acid equivalents/g) in raw peppers varied widely between types of peppers. Moderate losses (1.1–28.1%) in capsaicinoids were induced by boiling while grilling caused a significant increase (2.6–924.9%) in the content of these compounds. Proportion of individual capsaicinoids was similar in raw and cooked peppers. Boiling and grilling sequentially increased (7.4–137.0%) the total phenolic content in pungent peppers. Total phenolic content in non-pungent Bell peppers was reduced by cooking (1.6–26.9%). Boiling induced smaller changes in colour values (L*, a*, and b*) compared to grilling. The results demonstrated that Mexican raw peppers are rich in capsaicinoids and phenolic compounds. Household cooking can cause either decreases or increases in the content of such compounds in peppers.