Heat stress (HS) can lead to oxidative stress (OS), which jeopards human health and animal production. Capsaicin (CAP) has antioxidant activities. This study aimed to investigate the impacts of CAP on the alleviation of intestinal OS in heat-stressed mice. All 40 male C57BL/6J mice were randomly allotted to 4 groups in a 2 × 2 factorial arrangement with 2 levels of CAP (0 and 0.4 mg/d for 15 days) and 2 ambient temperatures (normal and HS (39.5 °C per day for 2 h for the last 6 days) conditions). CAP treatment enhanced the villus height under HS conditions. CAP supplementation increased serum superoxide dismutase (SOD) activity, jejunal glutathione peroxidase (GPX) activity, and HO-1, SOD1, SOD2, and GPX1 gene abundance, also upregulated TRPV1 and UCP2 expressions in heat-stressed mice. Meanwhile, CAP administration reversed the HS-induced elevation of the TNF-α and IFN-γ abundance. Collectively, CAP could enhance intestinal antioxidant capacity in heat-stressed mice.