Climate change and global warming pose a great threat to plant growth and development as well as crop productivity. To better study the genome-wide gene expression under heat, we performed a time-course (0.5 to 24 h) transcriptome analysis in the leaf and root of 40-day-old pepper plants under 40°C as well as in control plants. Clustering analysis (K-means) showed that the expression of 29,249 genes can be grouped into 12 clusters with distinct expression dynamics under stress. Gene ontology (GO) enrichment analysis and transcription factor (TF) identification were performed on the clusters with certain expression patterns. Comparative analysis between the heat-treated and control plants also identified differentially expressed genes (DEGs), which showed the largest degree of change at 24 h. Interestingly, more DEGs were identified in the root than in the leaf. Moreover, we analyzed the gene expression of 25 heat shock factor genes (HSFs) in pepper after heat stress, identified five of these HSFs that responded to heat stress, and characterized the role of these genes in heat-tolerant (17CL30) and heat-susceptible (05S180) pepper lines. The findings of this study improve our understanding of the genome-wide heat stress response in pepper.