It's definitely quicker to buy one of each at the grocery store than it is to stand in the produce section Googling the difference between red, yellow, orange, and green bell peppers. It also makes you look super health conscious instead of super confused.
The answer is pretty simple. You've certainly noticed a green pepper with a little red spot, or a yellow pepper that's green on one side. That discoloration gives away their secret. All colors of bell peppers come from the same plant. The colors are dictated by each pepper's ripeness.
Green peppers are unripe versions of red, yellow, and orange peppers. They will grow into yellow or orange peppers, and if left longer still, red peppers. Part of green peppers not quite being ripe is that they carry a slightly bitter taste that makes some people hate green peppers, but not mind the more sweet and ripe versions that green ones will become.