The high diversity of carotenoids and chlorophylls in foods contrasts with the reduced number of pigments that typically are investigated in micellarization studies. In this study, pepper samples (raw and heat-treated) contained 68 individual pigments, but only 38 of them were micellarized after in vitro digestion. The micellarization of pigments was majorly determined by the interaction effect of processing style (food matrix effect) and fat type (saturated and unsaturated). The highest micellarization was observed with raw peppers. Unsaturated fat increased the micellarization of carotenoid esters, while the impact of fat on the micellarization of free carotenoids seemed to be dependent on pigment structure. The micellarization efficiency was diminished as the esterification level of carotenoids increased. The type of fatty acid moiety and the polarity of the carotenoids modulated their micellarization. Chlorophylls were transformed into pheophytins by heat-processing and digestion, with the pheophytins being stable under gastrointestinal conditions. Micellarization of pheophytins was improved by fat.