Cappadocia is mentioned specifically by name only twice in The Bible, however it was among the earliest areas of Christian activity, with some Cappadocians among those at the "birthday of the church" Pentecost:
"And at this sound the multitude came together, and they were bewildered, because each one heard them speaking in his own language. And they were amazed and wondered, saying, "Are not all these who are speaking Galileans? And how is it that we hear, each of us in his own native language? Parthians and Medes and Elamites and residents of Mesopotamia, Judea and Cappadocia, Pontus and Asia, Phrygia and Pamphylia, Egypt and the parts of Libya belonging to Cyrene, and visitors from Rome, both Jews and proselytes, Cretans and Arabians, we hear them telling in our own tongues the mighty works of God." (Acts 2:6-11 RSV)
Peter addressed his first epistle to the Christians in the area:
"Peter, an apostle of Jesus Christ, to the exiles of the Dispersion in Pontus, Galatia, Cappadocia, Asia, and Bithynia, chosen and destined by God the Father and sanctified by the Spirit for obedience to Jesus Christ and for sprinkling with His blood: May grace and peace be multiplied to you." (1 Peter 1:1-2 RSV)
The apostle Paul (see On The Road To Damascus and Paul's Mirror) was from Tarsus in Cilcia, which is the adjacent region just south of Cappadocia. Paul traveled widely though Cappadocia - see Paul's First Missionary Journey, Paul's Second Missionary Journey and Paul's Third Missionary Journey.
Fact Finder: When the Cappadocians heard people speaking in their own tongues on that famous Pentecost, what did "speaking in tongues" mean?
See Speaking In Tongues