Aroma is a crucial attribute affecting the quality of pepper and its processed products, which has significant commercial value. However, little is known about the composition of volatile aroma compounds (VACs) in pepper fruits and their potential molecular regulatory mechanisms. In this study, HS-SPME-GC-MS combined with transcriptome sequencing is used to analyze the composition and formation mechanism of VACs in different kinds and development stages of pepper fruits. The results showed that 149 VACs, such as esters, alcohols, aldehydes, and terpenoids, were identified from 4 varieties and 3 development stages, and there were significant quantitative differences among different samples. Volatile esters were the most important aroma components in pepper fruits. PCA analysis showed that pepper fruits of different developmental stages had significantly different marker aroma compounds, which may be an important provider of pepper’s characteristic aroma. Transcriptome analysis showed that many differential genes (DEGs) were enriched in the metabolic pathways related to the synthesis of VACs, such as fatty acids, amino acids, MVA, and MEP in pepper fruits. In addition, we identified a large number of differential transcription factors (TFs) that may regulate the synthesis of VACs. Combined analysis of differential aroma metabolites and DEGs identified two co-expression network modules highly correlated with the relative content of VACs in pepper fruit. This study confirmed the basic information on the changes of VACs in the fruits of several Chinese spicy peppers at different stages of development, screened out the characteristic aroma components of different varieties, and revealed the molecular mechanism of aroma formation, providing a valuable reference for the quality breeding of pepper.