Healthy can be cheap as long as you're willing to do some of the work yourself.
If you go to your local supermarket looking for "fresh" produce the chances are you'll pay a lot for seriously shoddy quality. If you have a local farmers' market swing by and see what they have on offer. For comparison, the local supermarket in the parts of PA I'm familiar with charges anything up to $2 for a single green pepper. If you go to the local market you can buy several dozen of them for $5. One year I bought a bucket of them from an Amish farmer for $3 - they would normally have been $5 but he volunteered the fact that they were last week's crop so cut the price without even being asked. Then you can chop them up and freeze them, and use them throughout the year.
If you go to a lot of "health food" places you end up paying through the nose for not very much. There was a niche organic produce place in central London but it appeared to be geared more towards the wives of hedge fund managers who didn't need to worry about paying $50 for the ingredients for one course of one meal, than anyone on a normal income. Some of those sorts of places do seem to be little more than a way of relieving people with more money than sense of some of their money.
If you can freeze/can/preserve fresh produce then buy it when it's in season and cheap (e.g. $3 for a bucket of peppers, $5 for a big box of green beans) and preserve it so it lasts you all year. It's got to be better than paying $2 for a pepper that doesn't taste of anything much.
