Where are you located, and how much do you water? Yellowing leaves is commonly caused from overwatering. You did something right long enough to get peppers, so you probably only need to make a small adjustment.

I am in N. Florida and it has been raining a TON the last week, I haven't watered in over a week because of the rain. The soil is pretty wet. Not mud consistency but wet. There isn't much I can do about the rain though.

The plant is far from dying but it is stressed and as Ed said most likely from over-watering. The leaf roll is a classic sign of over-watering. So if it has been "raining a ton" that could be it. It always pays to have a rain gauge in the garden so you can keep track of exactly how much rain fall there has been.

Pepper plants don't like wet soil. They prefer to dry out between waterings - be that rain or gardener supplied water.

Dave