Liquid chromatography (LC) coupled with data-independent acquisition (DIA) mass spectrometry (MS) has been increasingly used in quantitative proteomics studies. Here, we present a fast and sensitive approach for direct peptide identification from DIA data, MSFragger-DIA, which leverages the unmatched speed of the fragment ion indexing-based search engine MSFragger. Different from most existing methods, MSFragger-DIA conducts a database search of the DIA tandem mass (MS/MS) spectra prior to spectral feature detection and peak tracing across the LC dimension. To streamline the analysis of DIA data and enable easy reproducibility, we integrate MSFragger-DIA into the FragPipe computational platform for seamless support of peptide identification and spectral library building from DIA, data-dependent acquisition (DDA), or both data types combined. We compare MSFragger-DIA with other DIA tools, such as DIA-Umpire based workflow in FragPipe, Spectronaut, DIA-NN library-free, and MaxDIA. We demonstrate the fast, sensitive, and accurate performance of MSFragger-DIA across a variety of sample types and data acquisition schemes, including single-cell proteomics, phosphoproteomics, and large-scale tumor proteome profiling studies.