Blend Cheddar cheese, flour, and butter in a food processor until dough is a coarse-meal texture and forms into a ball. Wrap dough in plastic wrap and refrigerate for 30 minutes.
Preheat oven to 400 degrees F (200 degrees C).
Shape dough into 1 1/2-inch balls and place 1 inch apart on a baking sheet.
Bake in the preheated oven for 5 minutes. Remove from oven; press thumb into top of each ball, creating an indentation. Spoon about 1 teaspoon pepper jelly into indentation. Bake until edges are golden brown, about 5 minutes.