Although @WS2 is correct that to a certain degree it's a matter of taste, if the bullets are complete sentences, you should capitalize them, but if they can be interpreted as part of a sentence, you should not. So, in the example you provide, they should not be capitalized.
From Get It Write, Handling Vertical Lists:
Except when the items in a list are complete sentences (or when they
contain complete sentences), treat a list as a single long sentence.
Additionally, as @michael_timofeev points out, I would change:
The database contains a variety of information. They include:
The database contains a variety of information, including
Note that the colon is also unnecessary if the list is being interpreted as part of a sentence.