The peppers of the Capsicum species are exploited in many fields, as flavoring agents in food industry, or as decorative and therapeutic plants. Peppers show a diversified phytochemical content responsible for different biological activities. Synergic activity exerted by high levels of antioxidant compounds is responsible for their important anti-inflammatory property. A methanolic extract was obtained from a new pepper genotype and tested for anti-inflammatory activity. The extract was incorporated into phospholipid vesicles to increase the bioavailability of its bioactive components. Two types of phospholipid vesicles were produced, conventional liposomes and Penetration Enhancer containing Vesicles (PEVs). They were tested in human monoblastic leukemia U937 cell line, showing no cytotoxic effect. The intracellular reactive oxygen species (ROS) and nitric oxide (NO) levels were measured to value the in vitro efficacy of the vesicles in regulating inflammatory responses. Liposomal incorporation significantly reduced ROS levels in extract-treated LPS-activated cells. Furthermore, LC-MS/MS analyses demonstrated that liposomes facilitated the transport of the extract components across the cell membrane and their accumulation into the cytoplasm.