Capsaicinoids are a unique chemical species resulting from a particular biosynthesis pathway of hot chilies (Capsicum spp.) that gives rise to 22 analogous compounds, all of which are TRPV1 agonists and, therefore, responsible for the pungency of Capsicum fruits. In addition to their human consumption, numerous ethnopharmacological uses of chili have emerged throughout history. Today, more than 25 years of basic research accredit a multifaceted bioactivity mainly to capsaicin, highlighting its antitumor properties mediated by cytotoxicity and immunological adjuvancy against at least 74 varieties of cancer, while non-cancer cells tend to have greater tolerance. However, despite the progress regarding the understanding of its mechanisms of action, the benefit and safety of capsaicinoids’ pharmacological use remain subjects of discussion, since capsaicin also promotes epithelial–mesenchymal transition, in an ambivalence that has been referred to as “the double-edge sword”. Here, we update the comparative discussion of relevant reports about capsaicinoids’ bioactivity in a plethora of experimental models of cancer in terms of selectivity, efficacy, and safety. Through an integration of the underlying mechanisms, as well as inherent aspects of cancer biology, we propose mechanistic models regarding the dichotomy of their effects. Finally, we discuss a selection of in vivo evidence concerning capsaicinoids’ immunomodulatory properties against cancer.