The invention relates to the technical field of food, and especially relates to an extraction method of pepper oleoresin. The extraction method comprises the following steps: extracting and filtering capsanthol to obtain a capsanthol extract; subjecting the capsanthol extract to ultrafiltration by using a ceramic membrane ultrafiltration technology, condensing, and removing the residual solvent to obtain pepper oleoresin; wherein the conditions of ultrafiltration are as follows: pressure: 0.05-0.5 MPa, material temperature: 20 to 40 DEG C, and whole circulation. The provided extraction method can increase the yield of pepper oleoresin, and improve the purity of pepper oleoresin.