The present study reports bioactive constituents from biquinho pepper, such as carotenoids, capsaicinoids, and capsinoids, identified by UHPLC-MS. Biquinho pepper extract showed an antioxidant potential by DPPH (33.17 ± 0.08%), ORAC (32.35 ± 0.02 μM TE/g), β-carotene/linoleic acid (55.80 ± 1.30%), and FRAP (315.88 ± 4.23 μmol TE/g) assays. Additionally, in vivo antioxidant analyses demonstrated that the pepper extract (170 μg/mL) decreased the damage promoted by H2O2 in Saccharomyces cerevisiae cells. Fish balls were prepared using different concentrations of pepper (0.0%, 0.5%, 0.75%, 1.0%) to investigate its antioxidant effect during frozen storage. Biquinho pepper effectively reduced the formation of cholesterol oxides and preserved essential fatty acids, mainly in samples containing 1.0% of pepper. Moreover, this treatment was more efficient than sodium erythorbate (p < 0.05), which was used as standard. The kinetics of cholesterol oxidation was also determined, showing that both cholesterol degradation and cholesterol oxides formation fit a first-order kinetic model (R2 > 0.8).