1. Fill a medium pot two-thirds full of canola oil. Heat to 350°F.
2. While oil is heating, whisk together chile, honey, vinegar, and olive oil in a bowl large enough to toss all brussels sprouts. Season with salt and pepper to taste. Keep bowl near stove top.
3. Fry brussels sprouts until edges begin to curl and brown, 2 to 3 minutes. Carefully add capers and stand back (they tend to splatter). Fry 1 minute. Transfer brussels sprouts and capers to bowl; mix to coat. Add salt and pepper to taste and toss in toasted walnuts.