Pepper is an important condiment, and its aroma affects its commercial value. In this study, transcriptome sequencing and combined headspace solid-phase microextraction and gas chromatography–mass spectrometry (HS-SPME-GC-MS) were used to analyze the differentially expressed genes and volatile organic compounds in spicy and non-spicy pepper fruits. Compared with non-spicy fruits, there were 27 up-regulated volatile organic compounds (VOCs) and 3353 up-regulated genes (Up-DEGs) in spicy fruits. The results of KEGG enrichment analysis of the Up-DEGs combined with differential VOCs analysis showed that fatty acid biosynthesis and terpenoid biosynthesis may be the main metabolic pathways for aroma differences between non-spicy and spicy pepper fruits. The expression levels of the fatty acid biosynthesis-related genes FAD, LOX1, LOX5, HPL, and ADH and the key terpene synthesis gene TPS in spicy pepper fruits were significantly higher than those in non-spicy pepper fruits. The differential expression of these genes may be the reason for the different aroma. The results can provide reference for the development and utilization of high-aroma pepper germplasm resources and the breeding of new varieties.