Cayenne Pepper is made from the Capsicum Chile. This is one of the most pungent varieties of chile. Cayenne is made from grinding both the flesh and the seeds of the chile, this makes it a very hot and it should be used with care as a little goes a very long way. The name of the Cayenne probably came from the area of South America where the chile originated. Cayenne Pepper is believed to be beneficial for the circulatory system.