A pickled pepper is a Capsicum pepper preserved by pickling. This process usually involves submersion in a brine of vinegar and salt water with herbs and spices, including peppercorns, coriander, dill, and bay leaf.Common pickled peppers are the banana pepper, Cubanelle, Bell Peppers, sweet cherry, the Hungarian wax pepper, the Greek pepper, the serrano pepper, and the jalapeño. They are often found in supermarkets alongside pickled cucumbers.