Cayenne Powder or Cayenne Pepper is Unadulterated Powdered Chillies
This hot powder is made by grinding the dried red skins of several types of hot chilli peppers. It is intense and hot and is usually sold in powdered form. Cayenne is used for its heat not for its flavour profile which is acidic and tart. It’s heat level is similar to the Asian bird’s eye chillies.
Cayenne pepper originated from Cayenne Island in French Guiana. In general it is made from South American chillies – cayenne, arbol or guajillo chillies.
Chilli Powder and Indian Chilli Powder
This is where the confusion arises. In India, chilli powder (quite naturally) refers to unadulterated ground chillies, similar to Cayenne powder. It is powdered dried red chillies, most commonly the cayenne variety of chilli peppers but can be made of local varieties. In Indian recipes, when it asks for chilli powder, it definitely refers to unadulterated powdered chillies.
BUT Mexican-Style chilli powder which is used in many other parts of the world, including the US, also contains a range of other spices such as Cumin, Garlic and Oregano. Some mixes may even include black pepper, cinnamon, cloves, coriander, mace, nutmeg, or turmeric. As a result of the various potential additives, the spiciness of any given chilli powder is variable. Different chillies give the chilli powder different taste profiles, and it is generally milder than Cayenne Pepper.
Kashmiri Chilli Powder
Kashmiri Chilli Powder is made from a long Kashmiri chilli that is relatively mild in taste, but which, like paprika, gives off a lovely deep red colour. If this is not available, use a mix of paprika and normal chilli powder.
Korean chilli
Korean Chilli (available in flakes, powder and paste) is a little different as it has a slight smoky flavour, in addition to being slightly sweet and also quite hot.
Paprika
Paprika is a spice made from the grinding of aromatic sweet bell peppers. In many European countries, especially Hungary where paprika is primarily used, the word paprika also refers to bell peppers themselves. The seasoning is used in many cuisines to add color and flavor to dishes. Paprika can range from sweet (mild, not hot) to spicy (hot) through to smokey.