Video: Hot peppers can make you feel like your mouth is on fire. The American Chemical Society explains the science behind that burn and why drinking water is one of the worse things you can do to ease that pain.
The chemical compound responsible for the burning sensation you can get when eating spicy foods is called capsaicin. It binds to pain receptors in your mouth, which then can trigger a reaction like your eyes tearing up or your nose running. The video explains that capsaicin is a non-polar molecule and dissolves in other non-polar molecules, so drinking milk, which contains non-polar molecules, will give you relief. (No wonder that Thai and Indian cuisines, often so spicy, incorporate a lot of dairy into their meals.) A few other ingredients can help you cool your mouth after eating spicy foods.
Water on the other hand? It's a polar substance and it will just spread the capsaicin around your mouth making the heat even worse.
So until you've built up your spicy food tolerance, reach for some milk and not water to help handle the heat.