Whisk ketchup, molasses, vinegar, Worcestershire, mustard, and pepper together in bowl.
Heat oil in medium saucepan over medium heat until shimmering.
Add onion and garlic; cook until onion is softened, 2 to 4 minutes.
Add chili powder and cayenne and cook until fragrant, about 30 seconds.
Whisk in ketchup mixture and bring to boil.
Reduce heat to medium-low and simmer gently for 5 minutes.
(Sauce can be refrigerated for up to 1 week.)
