Preheat oven to 400 degrees F (200 degrees C). Grease a baking sheet with cooking spray.
Season chicken breasts generously with salt and pepper. Wrap each chicken breast with 2 slices of capicola; secure with toothpicks. Transfer to the prepared baking sheet.
Bake in the preheated oven until capicola browns and an instant-read thermometer inserted into the chicken reads at least 165 degrees F (74 degrees C), about 30 minutes.