Cut the mini peppers in half lengthwise then de-seed and de-vein them.
Mix together some cream cheese, the shredded cheddar cheese, and Everything Bagel seasoning.
Using a small spoon, fill each pepper half with the filling.
Remove the slightly-cooked bacon from the oven. Transfer it to a paper towel-lined plate and allow it to cool slightly before wrapping the peppers in with a slice of bacon and securing each with a toothpick. Set each filling side-up atop the same baking sheet used to cook the bacon.
Transfer the baking sheet back to the oven and bake until the bacon is crispy.
Prepare the dip by stirring together mayo, sour cream, heavy cream, and Everything Bagel seasoning. Transfer the dip to the refrigerator to chill while the peppers finish baking.
Once the bacon is crispy, remove the peppers from the oven, remove the toothpicks from each pepper, and then serve with the prepared dipping sauce.