When you slice a bell pepper in half it will look exactly like any spicy chile pepper. There is a placenta covered with seeds, there are veins running along the flesh of the bell pepper. They are pretty much identical with the main exception being the difference in size. Bell peppers have a fruity scent, just like many hot chilies. Both have a crispness to their flesh and also high water content. You can slice, sauté, grill, char, pickle, stuff, or eat bell peppers just like you would any kind of spicy chilies. But when it comes to bell peppers you'll never have to wear gloves to protect your skin from a chili burn, and you'll never have to reach for a drink to calm the fiery heat after eating bell peppers.
Within the fruit, capsaicin is present in the placenta of the pepper, the white pith the seeds are attached to, which we call ribs or veins. To a lesser extent, it can also be found in the other fleshy parts of the fruit. Contrary to what you might believe, the seeds themselves do not produce any capsaicin.