<PAGE>   1
                                                       Registration No. 333-____

                       SECURITIES AND EXCHANGE COMMISSION
                              WASHINGTON, DC 20549

                                    FORM S-8
                             REGISTRATION STATEMENT
                                      UNDER
                           THE SECURITIES ACT OF 1933


                              CSK AUTO CORPORATION
             (Exact Name of Registrant as Specified in its Charter)

     Delaware                                               86-0765798
(State or Other Jurisdiction                             (I.R.S. Employer
of Incorporation or Organization)                     Identification Number)

                            645 EAST MISSOURI AVENUE
                             PHOENIX, ARIZONA 85012
          (Address of Principal Executive Offices, including Zip Code)



                                 CSK AUTO, INC.
                               RETIREMENT PROGRAM

                            (Full Title of the Plan)

                               MAYNARD L. JENKINS
                              CSK AUTO CORPORATION
                            645 EAST MISSOURI AVENUE
                                PHOENIX, AZ 85012
                     (Name and Address of Agent for Service)

                                 (602) 265-9200
          (Telephone Number, Including Area Code, of Agent for Service)


                                   Copies to:

       RICHARD M. RUSSO, Esq.                    DAVID I. SCHILLER, Esq.
     Gibson, Dunn & Crutcher LLP               Gibson, Dunn & Crutcher LLP
 1801 California Street, Suite 4100            1717 Main Street, Suite 5400
        Denver, CO 80202-2641                      Dallas, Texas 75201
           (303) 298-5700                             (214) 698-3100



                         CALCULATION OF REGISTRATION FEE
<TABLE>
<CAPTION>

                                                                PROPOSED            PROPOSED MAXIMUM
     TITLE OF SECURITIES             AMOUNT TO BE           MAXIMUM OFFERING       AGGREGATE OFFERING          AMOUNT OF
       TO BE REGISTERED               REGISTERED          PRICE PER SHARE (1)           PRICE (1)          REGISTRATION FEE
-------------------------------   --------------------   --------------------     -------------------    --------------------
<S>                              <C>                      <C>                    <C>                    <C>    
common stock, par value $.01
("Common Stock")
(2).............................        275,000                 $24.94                  $6,858,500            $1,907
</TABLE>



In addition, pursuant to Rule 416(c) under the Securities Act of 1933, as
amended (the "Securities Act"), this Registration Statement on Form S-8 (this
"Registration Statement") also covers an indeterminate amount of interests to be
offered or sold pursuant to the employee benefit plan described herein.

(1)   Estimated solely for the purpose of calculating the registration fee.

(2)   The shares are offered under the CSK Auto, Inc. Retirement Program, a
      profit-sharing plan which is qualified under Section 401(a) of the
      Internal Revenue Code ("Code") and which provides for contributions
      pursuant to Section 401(k) of the Code. Pursuant to Rule 457(h)(1), the
      filing fee for these shares is calculated based upon the average high and
      low prices of the Common Stock reported on May 3, 1999, which is $24.94
      per share.


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                                     PART I

              INFORMATION REQUIRED IN THE SECTION 10(a) PROSPECTUS

         The document(s) containing the information called for in Part I of Form
S-8 will be provided to participants in the prospectus for the CSK Auto, Inc.
Retirement Program (the "Plan"). Such information is omitted from this
registration statement in accordance with Rule 428 under the Securities Act of
1933, as amended (the "Securities Act") and the Note to Part I of Form S-8.

                                     PART II

               INFORMATION REQUIRED IN THE REGISTRATION STATEMENT

ITEM 3.  INCORPORATION OF DOCUMENTS BY REFERENCE.

                  The following documents of the Company heretofore filed with
the Securities and Exchange Commission (the "Commission") are hereby
incorporated in this Registration Statement by reference:

(1)      The Company's latest annual report filed pursuant to Section 13(a) or
         15(d) of the Securities Exchange Act of 1934, as amended (the "Exchange
         Act"), that contains audited financial statements for the Company's
         latest fiscal year for which such statements have been filed;

(2)      All other reports filed pursuant to Section 13(a) or 15(d) of the
         Exchange Act since the end of the fiscal year covered by Company's
         latest annual report or prospectus referred to in (1) above;

(3)      The description of the Common Stock set forth under the caption
         "Description of Capital Stock" in the Company's effective registration
         statement on Form S-1 (File No. 333-43211), together with any amendment
         or report filed with the Commission for the purpose of updating such
         description.

                  All reports and other documents subsequently filed by the
Company pursuant to Sections 13(a) and (c), 14 and 15(d) of the Exchange Act
prior to the filing of a post-effective amendment which indicates that all
securities offered hereunder have been sold or which deregisters all such
securities then remaining unsold shall be deemed to be incorporated by reference
in this Registration Statement and to be a part hereof from the date of filing
of such reports and documents.

                  Any statement contained herein or in a document incorporated
or deemed to be incorporated by reference herein shall be deemed to be modified
or superseded for purposes of this Registration Statement to the extent that a
statement contained herein or in any other subsequently filed document which
also is or is deemed to be incorporated by reference herein 


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modifies or supersedes such earlier statement. Any statement so modified or
superseded shall not be deemed, except as so modified or superseded, to
constitute a part of this Registration Statement.

ITEM 4.   DESCRIPTION OF SECURITIES.

          Not applicable.

ITEM 5.  INTERESTS OF NAMED EXPERTS AND COUNSEL.

          Not applicable.

ITEM 6.  INDEMNIFICATION OF DIRECTORS AND OFFICERS.

         Section 145 of the Delaware General Corporation Law (the "DGCL") makes
provisions for the indemnification of officers and directors of corporations in
terms sufficiently broad to indemnify the officers and directors of the Company
under certain circumstances from liabilities (including reimbursement of
expenses incurred) arising under the Securities Act of 1933, as amended (the
"Securities Act").

         As permitted by the DGCL, the Company's Restated Certificate of
Incorporation, as amended (the "Charter"), provides that, to the fullest extent
permitted by the DGCL, no director shall be liable to the Company or to its
stockholders for monetary damages for breach of his fiduciary duty as a
director. Delaware law does not permit the elimination of liability (i) for any
breach of the director's duty of loyalty to the Company or its stockholders,
(ii) for acts or omissions not in good faith or which involve intentional
misconduct or a knowing violation of law, (iii) in respect of certain unlawful
dividend payments or stock redemptions or repurchases, or (iv) for any
transaction from which the director derives an improper personal benefit. The
effect of this provision in the Charter is to eliminate the rights of the
Company and its stockholders (through stockholders' derivative suits on behalf
of the Company) to recover monetary damages against a director for breach of
fiduciary duty as a director thereof (including breaches resulting from
negligent or grossly negligent behavior) except in the situations described in
clauses (i)-(iv), inclusive, above. These provisions will not alter the
liability of directors under federal securities laws.

         In addition, the Charter provides that the Company may indemnify any
person who was or is a party or who was or is threatened to be made a party to
or is otherwise involved in any threatened, pending or completed action, suit or
proceeding (including, without limitation, one by or in the right of the Company
to procure judgment in its favor), whether civil, criminal, administrative or
investigative, by reason of the fact that he or she is or was a director,
officer, employee or agent of the Company or is or was serving at the request of
the Company as a director, officer, employee or agent of any other corporation
or enterprise, from and against any and all expenses (including attorney's
fees), judgments, fines and amounts paid in settlement actually and reasonably
incurred by such person. The Charter also provides that the indemnification
provided in the Charter shall not be deemed exclusive of any other rights to
which the indemnified party may be entitled and that the Company may maintain
insurance, at 

                                      II-2

<PAGE>   4

its expense, to protect itself and any director, officer, employee or agent of
the Company or any other corporation or enterprise against expense liability or
loss whether or not the Company would have the power to indemnify such person
against such expense, liability or loss under the DGCL or under the Charter.

         The Company's By-Laws (the "Bylaws") provide that the Company may
indemnify any person who was or is a party or is threatened to be made a party
to any threatened, pending or completed action, suit or proceeding, whether
civil, criminal, administrative or investigative (other than an action by or in
the right of the Company) by reason of the fact that he is or was a director,
officer, employee or agent of the Company or is or was serving at the request of
the Company as a director, officer, employee or agent of any other corporation
or enterprise, against expenses (including attorneys' fees), judgments, fines
and amounts paid in settlement actually and reasonably incurred by such person
in connection with such action, suit or proceeding if such person acted in good
faith and in a manner he reasonably believed to be in or not opposed to the best
interests of the Company, and, with respect to any criminal action or
proceeding, had no reasonable cause to believe such person's conduct was
unlawful.

         The Bylaws also provide that the Company may indemnify any person who
was or is a party or is threatened to be made a party to any threatened, pending
or completed action or suit by or in the right of the Company to procure
judgment in its favor by reason of the fact that such person acted in any of the
capacities set forth above, against expenses (including attorneys' fees)
actually and reasonably incurred by such person in connection with the defense
or settlement of such action or suit if such person acted under similar
standards, except that no indemnification may be made in respect of any claim,
issue or matter as to which such person shall have been adjudged to be liable to
the Company unless and only to the extent that the Court of Chancery of the
State of Delaware or the court in which such action or suit was brought shall
determine that despite the adjudication of liability but in view of all the
circumstances of the case, such person is fairly and reasonably entitled to be
indemnified for such expenses which the Court of Chancery of the State of
Delaware or the court in which such action was brought shall deem proper.

         The Bylaws also provide that to the extent a director or officer of the
Company has been successful in the defense of any action, suit or proceeding
referred to in the previous paragraphs or in the defense of any claim, issue, or
matter therein, he shall be indemnified against expenses (including attorneys'
fees) actually and reasonably incurred by him in connection therewith and that
indemnification provided for in the Bylaws shall not be deemed exclusive of any
other rights to which the indemnified party may be entitled.

ITEM 7.  EXEMPTION FROM REGISTRATION CLAIMED.

         Not applicable.

ITEM 8.  EXHIBITS.

         Unless otherwise indicated below as being incorporated by reference to
another filing of the Company with the Commission, each of the following
exhibits is filed herewith:

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<PAGE>   5

         4.01     CSK Auto, Inc. Retirement Program

         4.02     Restated Certificate of Incorporation of the Company,
                  incorporated herein by reference to Exhibit 3.01 of the
                  Company's annual report on Form 10-K, filed on April 28, 1999.

         4.03     Certificate of Correction of the Company, incorporated herein
                  by reference to Exhibit 3.02 of the Company's annual report on
                  Form 10-K, filed on April 28, 1999 (File No. 001-13927).

         4.04     Amended and Restated By-Laws of the Company, incorporated
                  herein by reference to Exhibit 3.03 of the Company's annual
                  report on Form 10-K, filed on April 28, 1999 (File No.
                  001-13927).

         4.05     Form of Common Stock Certificate, incorporated herein by
                  reference to Exhibit 3.02 of the Company's registration
                  statement on Form S-1 (File No. 333-43211).

         5.01     In lieu of attaching an Internal Revenue Service ("IRS")
                  determination letter or opinion of counsel that the Plan is
                  qualified under section 401 of the Internal Revenue Code, the
                  registrant hereby undertakes to submit the Plan, and any
                  amendments thereto, to the IRS in a timely manner, and has
                  made or will make all changes required by the IRS in order to
                  qualify the Plan.

         23.01    Consent of PricewaterhouseCoopers LLP.

         24.01    Power of Attorney (included on signature page of this
                  Registration Statement).

ITEM 9.  UNDERTAKINGS.

         (1)      The undersigned Company hereby undertakes:

                  (a)      To file, during any period in which offers or sales
                           are being made, a post-effective amendment to this
                           registration statement:

                           (i) To include any prospectus required by section
                           10(a)(3) of the Securities Act;

                           (ii) To reflect in the prospectus any facts or events
                           arising after the effective date of the registration
                           statement (or the most recent post-effective
                           amendment thereof) which, individually or in the
                           aggregate, represents a fundamental change in the
                           information set forth in the registration statement;

                           (iii) To include any material information with
                           respect to the plan of distribution not previously
                           disclosed in the Registration Statement or any
                           material change to such information in the
                           Registration Statement;

                  provided, however, that paragraphs (1)(a)(i) and (1)(a)(ii) do
not apply if the information required to be included in a post-effective
amendment by those paragraphs is contained in periodic reports filed by the
Company pursuant to Section 13 or Section 15(d) of the Exchange Act that are
incorporated by reference in this registration statement.

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<PAGE>   6

                  (b)      That, for the purpose of determining any liability
                           under the Securities Act, each such post-effective
                           amendment shall be deemed to be a new registration
                           statement relating to the securities offered therein,
                           and the offering of such securities at that time
                           shall be deemed to be the initial bona fide offering
                           thereof.

                  (c)      To remove from registration by means of a
                           post-effective amendment any of the securities being
                           registered which remain unsold at the termination of
                           the offering.

         (2) The undersigned Company hereby undertakes that, for purposes of
determining any liability under the Securities Act, each filing of the Company's
annual report pursuant to Section 13(a) or Section 15(d) of the Exchange Act
(and, where applicable, each filing of an employee benefit plan's annual report
pursuant to Section 15(d) of the Exchange Act) that is incorporated by reference
in the Registration Statement shall be deemed to be a new registration statement
relating to the securities offered therein, and the offering of such securities
at that time shall be deemed to be the initial bona fide offering thereof.

         (3) Insofar as indemnification for liabilities arising under the
Securities Act may be permitted to directors, officers and controlling persons
of the Company pursuant to the foregoing provisions, or otherwise, the Company
has been advised that in the opinion of the Securities and Exchange Commission
such indemnification is against public policy as expressed in the Act and is,
therefore, unenforceable. In the event that a claim for indemnification against
such liabilities (other than the payment by the Company of expenses incurred or
paid by a director, officer or controlling person of the Company in the
successful defense of any action, suit or proceeding) is asserted by such
director, officer or controlling person in connection with the securities being
registered, the Company will, unless in the opinion of its counsel the matter
has been settled by controlling precedent, submit to a court of appropriate
jurisdiction the question whether such indemnification by it is against public
policy as expressed in the Act and will be governed by the final adjudication of
such issue.


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<PAGE>   7


                                   SIGNATURES

         Pursuant to the requirements of the Securities Act of 1933, the Company
certifies that it has reasonable grounds to believe that it meets all the
requirements for filing on Form S-8 and has duly caused this Registration
Statement to be signed on its behalf by the undersigned, thereunto duly
authorized, in the City of Phoenix, State of Arizona, on this 5th day of May,
1999.

                                        CSK AUTO CORPORATION

                                        By
                                           ------------------------------------
                                           James Bazlen
                                           President and Chief
                                           Operating Officer

                                POWER OF ATTORNEY

         Each person whose signature appears below constitutes and appoints Don
W. Watson, his true and lawful attorney-in-fact and agent, with full power of
substitution and resubstitution, for him and in his name, place and stead, in
any and all capacities, to sign any and all amendments (including post-effective
amendments) to this Registration Statement, and to file the same, with all
exhibits thereto and other documents in connection therewith, with the
Securities and Exchange Commission, granting unto said attorney-in-fact and
agent full power and authority to do and perform each and every act and thing
requisite and necessary to be done in and about the premises, as fully to all
intents and purposes as he might or could do in person, hereby ratifying and
confirming all that said attorney-in-fact and agent, or his substitute or
substitutes, may lawfully do or cause to be done by virtue hereof.

         Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed by the following persons in the
capacities and on the dates indicated.
<TABLE>
<CAPTION>
          Signature                                Title                           Date
          ---------                                -----                           ----
<S>                                       <C>                                   <C>
                                            Chairman of the Board and                     , 1999
------------------------------------         Chief Executive Officer            ---------
        Maynard Jenkins                    Principal Executive Officer)


                                                  President,
------------------------------------       Chief Operating Officer and                    , 1999
         James Bazlen                               Director                    ----------


------------------------------------       Senior Vice President, Chief                   , 1999
           Don Watson                         Financial Officer and             ----------
                                                  Treasurer
                                           (Principal Financial and 
                                             Accounting Officer)
</TABLE>


                                      II-6
<PAGE>   8


                 Signature                       Title              Date
                 ---------                       -----              ----

     ----------------------------------        Director                 , 1999
               Morton Godlas                                 ----------

     ----------------------------------        Director                 , 1999
               James O. Egan                                 ----------

     ----------------------------------        Director                 , 1999
           Christopher J. O'Brien                            ----------

     ----------------------------------        Director                 , 1999
            Charles J. Philippin                             ----------

     ----------------------------------        Director                 , 1999
                Robert Smith                                 ----------

     ----------------------------------        Director                 , 1999
           Christopher J. Stadler                            ----------

     ----------------------------------        Director                 , 1999
                Jules Trump                                  ----------

     ----------------------------------        Director                 , 1999
                Eddie Trump                                  ----------

     ----------------------------------        Director                 , 1999
               Savio W. Tung                                 ----------

     ----------------------------------        Director                 , 1999
              John F. Antioco                                ----------

     ----------------------------------        Director                 , 1999
             Charles K. Marquis                              ----------


         Pursuant to the requirements of the Securities Act of 1933, the CSK
Auto, Inc. Retirement Program has duly caused this registration statement to be
signed on its behalf by the undersigned, thereunto duly authorized, in the City
of Phoenix, State of Arizona, on the     day of May, 1999.


                                        ---------------------------------------
                                        Name:                                  
                                            -----------------------------------

                                      II-7
<PAGE>   9

                                        Member of the CSK Auto, Inc. Retirement 
                                        Program Committee



                                      II-8
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                                  EXHIBIT INDEX

 Exhibit Number   Description
 --------------   -----------

      4.01        CSK Auto, Inc. Retirement Program

      4.02        Restated Certificate of Incorporation of the Company,
                  incorporated herein by reference to Exhibit 3.01 of the
                  Company's annual report on Form 10-K, filed on April 28, 1999
                  (File No. 001-13927).

      4.03        Certificate of Correction of the Company, incorporated herein
                  by reference to Exhibit 3.02 of the Company's annual report on
                  Form 10-K, filed on April 28, 1999 (File No. 001-13927).

      4.04        Amended and Restated By-Laws of the Company, incorporated
                  herein by reference to Exhibit 3.03 of the Company's annual
                  report on Form 10-K, filed on April 28, 1999 (File No.
                  001-13927).

      4.05        Form of Common Stock Certificate, incorporated herein by
                  reference to Exhibit 3.02 of Company's registration statement
                  on Form S-1 (File No.
                  333-43211).

     23.01        Consent of PricewaterhouseCoopers LLP.

     24.01        Power of Attorney (included on signature page of this
                  Registration Statement).


                                      II-9