The DnaJ proteins which function as molecular chaperone played critical roles in plant growth and development and response to heat stress (HS) and also called heat shock protein 40 based on molecular weight. However, little was reported on this gene family in pepper. Recently, the release of the whole pepper genome provided an opportunity for identifying putative DnaJ homologous. In this study, a total of 76 putative pepper DnaJ genes (CaDnaJ01 to CaDnaJ76) were identified using bioinformatics methods and classified into five groups by the presence of the complete three domains (J-domain, zinc finger domain, and C-terminal domain). Chromosome mapping suggested that segmental duplication and tandem duplication were occurred in evolution. The multiple stress-related cis-elements were found in the promoter region of these CaDnaJ genes, which indicated that the CaDnaJs might be involved in the process of responding to complex stress conditions. In addition, expression profiles based on RNA-seq showed that the 47 CaDnaJs were expressed in at least one tissue tested. The result implied that they could be involved in the process of pepper growth and development. qRT-PCR analysis found that 80.60% (54/67) CaDnaJs were induced by HS, indicated that they could participated in pepper response to high temperature treatments. In conclusion, all these results would provide a comprehensive basis for further analyzing the function of CaDnaJ members and be also significant for elucidating the evolutionary relationship in pepper.