Pyrite (FeS₂) is an attractive photovoltaic material due to its high absorption coefficient and suitable band gap. This work focuses on the effect of external electric field on the electronic band structure and optical properties using density functional theory with Hubbard U correction (DFT+U). Calculations suggest that the application of electric field in x, y and z directions produce similar results both in band structure and optical properties of pyrite. The addition of external electric field has not changed the p-type semiconductivity but band splits significantly and the gap also decreases obviously at high electric field, accompanied with the fracture of the crystal. The variation of dielectric function, absorption coefficient, reflectivity, refractive index, extinction coefficient and conductivity are observed due to the addition of electric field.