Bring the brown rice, and water to a boil in a saucepan. Reduce the heat to medium-low, cover, and simmer until the rice is tender and the liquid has been absorbed, 45 to 50 minutes.
Prepare a skillet with cooking spray and place over medium heat. Cook the bell pepper and onion until lightly browned; stir into the cooked rice. Add the Cheddar cheese and continue stirring until the cheese has melted completely.