<PAGE>   1
    As filed with the Securities and Exchange Commission on August 27, 1999.
                                                       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 CORPORATION
                         1999 EMPLOYEE STOCK OPTION PLAN

                            (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, Colorado 80202-2641                         Dallas, Texas 75201
          (303) 298-5700                                   (214) 698-3100

<TABLE>
<CAPTION>
                                             CALCULATION OF REGISTRATION FEE
---------------------------------------------------------------------------------------------------------------------------
                                                                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).............................        750,000                  $23.56                $17,670,000            $4,915
---------------------------------------------------------------------------------------------------------------------------
</TABLE>

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

(2)   The shares are offered under the CSK Auto Corporation 1999 Employee Stock
      Option Plan. 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 August 23, 1999, which is $23.56 per share.


================================================================================
<PAGE>   2
                                     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 Corporation 1999 Employee Stock Option Plan (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.


                                      I-1
<PAGE>   3

                                     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 modifies or
supersedes such earlier statement. Any statement so modified or superseded shall


                                      II-1
<PAGE>   4
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 its expense, to protect itself and any director, officer, employee
or agent of the Company or any


                                      II-2
<PAGE>   5
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:


                                      II-3
<PAGE>   6
         4.01     CSK Auto Corporation 1999 Employee Stock Option Plan,
                  incorporated herein by reference to Appendix C of the
                  Company's Proxy Statement to Shareholders dated May 12, 1999.


         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     Opinion of Gibson, Dunn & Crutcher LLP

        23.01     Consent of Gibson, Dunn & Crutcher LLP (included as part of
                  Exhibit 5.01)

        23.02     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;


                                      II-4
<PAGE>   7
                        (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.

                  (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.


                                      II-5
<PAGE>   8
                                   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 26th day of
August, 1999.

                              CSK AUTO CORPORATION

                              By /s/ James Bazlen
                                 ------------------------------
                                 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>
/s/     Maynard Jenkins                Chairman of the Board and           August 26, 1999
--------------------------------       Chief Executive Officer
        Maynard Jenkins                (Principal Executive Officer)



/s/      James Bazlen                  President,                          August 26, 1999
--------------------------------       Chief Operating Officer and
         James Bazlen                  Director


/s/       Don Watson                   Senior Vice President, Chief
--------------------------------       Financial Officer and Treasurer     August 26, 1999
          Don Watson                   (Principal Financial and
                                       Accounting Officer)
</TABLE>


                                      II-6
<PAGE>   9
             Signature                        Title                  Date
             ---------                        -----                  ----
/s/        Morton Godlas
----------------------------------           Director            August 26, 1999
           Morton Godlas

/s/        James O. Egan
----------------------------------           Director            August 26, 1999
           James O. Egan

/s/   Christopher J. O'Brien
----------------------------------           Director            August 27, 1999
      Christopher J. O'Brien

/s/    Charles J. Philippin
----------------------------------           Director            August 26, 1999
       Charles J. Philippin

/s/        Robert Smith
----------------------------------           Director            August 27, 1999
           Robert Smith

/s/   Christopher J. Stadler
----------------------------------           Director            August 26, 1999
      Christopher J. Stadler

/s/         Jules Trump
----------------------------------           Director            August 26, 1999
            Jules Trump

/s/         Eddie Trump
----------------------------------           Director            August 27, 1999
            Eddie Trump


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


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

/s/     Charles K. Marquis
----------------------------------           Director            August 27, 1999
        Charles K. Marquis


                                      II-7
<PAGE>   10
                                  EXHIBIT INDEX

 Exhibit Number                        Description

      4.01        CSK Auto Corporation 1999 Employee Stock Option Plan,
                  incorporated herein by reference to Appendix C of the
                  company's Proxy Statement to Shareholders dated May 12, 1999.

      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).

      5.01        Opinion of Gibson, Dunn & Crutcher LLP

     23.01        Consent of Gibson, Dunn & Crutcher LLP (included as part of
                  Exhibit 5.01)

     23.02        Consent of PricewaterhouseCoopers LLP

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


                                      II-8