WRKY proteins are a large group of plant transcription factors that are involved in various biological processes, including biotic and abiotic stress responses, hormone response, plant development, and metabolism. WRKY proteins have been identified in several plants, but only a few have been identified in Capsicum annuum. Here, we identified a total of 62 WRKY genes in the latest pepper genome. These genes were classified into three groups (Groups 1-3) based on the structural features of their proteins. The structures of the encoded proteins, evolution, and expression under normal growth conditions were analyzed and 35 putative miRNA target sites were predicted in 20 CaWRKY genes. Moreover, the response to cold or CMV treatments of selected WRKY genes were examined to validate the roles under stresses. And alternative splicing (AS) events of some CaWRKYs were also identified under CMV infection. Promoter analysis confirmed that CaWRKY genes are involved in growth, development, and biotic or abiotic stress responses in hot pepper. The comprehensive analysis provides fundamental information for better understanding of the signaling pathways involved in the WRKY-mediated regulation of developmental processes, as well as biotic and abiotic stress responses.