Because of the size of polypeptides and proteins, the quantum-chemical prediction of their vibrational spectra presents an exceptionally challenging task. Here, we address one of these challenges, namely, the inclusion of anharmonicities. By performing the expansion of the potential energy surface in localized-mode coordinates instead of the normal-mode coordinates, it becomes possible to calculate anharmonic vibrational spectra of polypeptides efficiently and reliably. We apply this approach to calculate the infrared, Raman, and Raman optical activity spectra of helical alanine polypeptides consisting of up to 20 amino acids. We find that while anharmonicities do not alter the band shapes, simple scaling procedures cannot account for the different shifts found for the individual bands. This closes an important gap in theoretical vibrational spectroscopy by making it possible to quantify the anharmonic contributions and opens the door to a first-principles calculation of multidimensional vibrational spectra.