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                UNITED STATES SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                             ---------------------
                                  FORM 10-K/A
                               (AMENDMENT NO. 1)
                             ---------------------

<Table>
<C>          <S>
    [X]      ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)
             OF THE SECURITIES EXCHANGE ACT OF 1934



             FOR THE FISCAL YEAR ENDED DECEMBER 31, 2005



                                          OR
    [ ]      TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
             OF THE SECURITIES EXCHANGE ACT OF 1934



             FOR THE TRANSITION PERIOD FROM          TO         ,
                     .
</Table>

                          COMMISSION FILE NO. 1-10024

                            BKF CAPITAL GROUP, INC.
             (Exact name of registrant as specified in its charter)

<Table>
<S>                                                 <C>
                     DELAWARE                                           36-0767530
          (State or other jurisdiction of                  (I.R.S. Employer Identification No.)
          incorporation or organization)
</Table>

                             ONE ROCKEFELLER PLAZA
                            NEW YORK, NEW YORK 10020
                    (Address of principal executive offices)

                        TELEPHONE NUMBER: (212) 332-8400
              (Registrant's telephone number, including area code)
                             ---------------------

          SECURITIES REGISTERED PURSUANT TO SECTION 12(b) OF THE ACT:

<Table>
<Caption>
                TITLE OF EACH CLASS                      NAME OF EACH EXCHANGE ON WHICH REGISTERED
                -------------------                      -----------------------------------------
<S>                                                 <C>
      Common Stock, par value $1.00 per share                     New York Stock Exchange
</Table>

          SECURITIES REGISTERED PURSUANT TO SECTION 12(g) OF THE ACT:
                                      NONE
                             ---------------------
    Indicate by check mark if the registrant is a well-known seasoned issuer, as
defined in Rule 405 of the Securities Act.  Yes  [ ]    No  [X]

    Indicate by check mark if the registrant is not required to file reports
pursuant to Section 13 or Section 15(d) of the Act.  Yes  [ ]    No  [X]

    Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports) and (2) has been subject to such
filing requirements for the past 90 days.  Yes  [X]    No  [ ]

    Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendments to
this Form 10-K.  [ ]

    Indicate by check mark whether the registrant is a large accelerated filer,
an accelerated filer, or a non-accelerated filer. See definition of "accelerated
filer and large accelerated filer" in Rule 12b-2 of the Exchange Act. (Check
one):

   Large accelerated filer  [ ]    Accelerated filer  [X]    Non-accelerated
                                   filer  [ ]

    Indicate by check mark whether the registrant is a shell company (as defined
in Rule 12b-2 of the Exchange Act).  Yes  [ ]    No  [X]

    The aggregate market value of the voting stock held by non-affiliates of the
registrant as of June 30, 2005 was $228,805,881 (based on the closing sale price
of $37.91 on June 30, 2005 as reported by the New York Stock Exchange-Composite
Transactions). For this computation, the registrant has excluded the market
value of all shares of its Common Stock reported as beneficially owned by
executive officers and directors of the registrant; such exclusion shall not be
deemed to constitute an admission that any such person is an "affiliate" of the
registrant.

    At March 1, 2006, 8,293,722 shares of BKF Capital Group, Inc. common stock,
par value $1.00 per share, were outstanding.

                      DOCUMENTS INCORPORATED BY REFERENCE:

     None.
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<PAGE>

     This Form 10-K/A ("Form 10-K/A") of BKF Capital Group, Inc. (the "Company")
constitutes Amendment No. 1 to the Company's Annual Report on Form 10-K for the
year ended December 31, 2005, which was initially filed with the Securities and
Exchange Commission on March 16, 2006 (the "Original Filing"). The only purposes
of this filing are (i) to refile the Reports of Independent Registered Public
Accounting Firm by Eisner LLP, which were included in the Original Filing, to
the Partners of Levco Debt Opportunity Partners, L.P. and LR Capital Partners,
L.P., two consolidated affiliated partnerships of the Company, respectively and
(ii) to correct page references with respect to the financial statements.

                                    PART IV

ITEM 15.  EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

A) THE FOLLOWING DOCUMENTS ARE FILED AS PART OF THIS FORM 10-K/A:

     (1) Financial Statements

     Item 15(a)(1), which includes a description of the financial statements
filed as part of the Annual Report on Form 10-K under Item 8, is amended to
reflect the following corrected page numbers:

<Table>
<Caption>

<S>                                                            <C>
Report of Independent Registered Public Accounting
  Firm -- Grant Thornton LLP................................    F-2
Report of Independent Registered Public Accounting
  Firm -- Ernst & Young LLP.................................    F-3
Report of Independent Registered Public Accounting
  Firm -- Eisner LLP........................................    F-4
Consolidated Statements of Financial Condition at December
  31, 2005 and 2004.........................................   F-12
Consolidated Statements of Operations for the years ended
  December 31, 2005, 2004 and 2003..........................   F-13
Consolidated Statements of Cash Flows for the years ended
  December 31, 2005, 2004 and 2003..........................   F-14
Consolidated Statements of Changes in Stockholders' Equity
  for the years December 31, 2005, 2004 and 2003............   F-15
Notes to Consolidated Financial Statements..................   F-16
</Table>

     The Reports of Independent Registered Public Accounting Firm by Eisner LLP
included in the Original Filing to the Partners of Levco Debt Opportunity
Partners, L.P. and LR Capital Partners, L.P., respectively, are hereby replaced
by the reports below.
<PAGE>

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners
Levco Debt Opportunity Partners, L.P.

We have audited the accompanying statement of assets, liabilities and
partnership capital of Levco Debt Opportunity Partners, L.P. (the "Partnership")
(in liquidation) as of December 31, 2005. This financial statement (not shown
separately herein) is the responsibility of the Partnership's management. Our
responsibility is to express an opinion on this financial statement based on our
audit.

We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statement is free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statement. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audit provides a
reasonable basis for our opinion.

In our opinion, the financial statement (not show separately herein) enumerated
above presents fairly, in all material respects, the financial position of Levco
Debt Opportunity Partners, L.P. as of December 31, 2005, in conformity with
accounting principles generally accepted in the United States of America.

/s/ Eisner LLP

New York, New York
January 20, 2006

With respect to Note F
February 9, 2006 and February 28, 2006
<PAGE>

            REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners
LR Capital Partners, L.P.

     We have audited the accompanying statement of assets, liabilities and
partnership capital, of LR Capital Partners, L.P. (a limited partnership)
including the condensed schedule of investments as of December 31, 2005, and the
related statements of operations, changes in partnership capital and financial
highlights for the period from June 1, 2005 (commencement of operations) to
December 31, 2005. These financial statements and financial highlights (not
shown separately herein) are the responsibility of the Partnership's management.
Our responsibility is to express an opinion on these financial statements and
financial highlights based on our audit.

     We conducted our audit in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements. An audit also includes assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.

     In our opinion, the financial statements enumerated above present fairly,
in all material respects, the financial position of LR Capital Partners, L.P. as
of December 31, 2005, and the results of its operations, its changes in
partnership capital and financial highlights for the period from June 1, 2005
(commencement of operations) to December 31, 2005 in conformity with accounting
principles generally accepted in the United States of America.

/s/ Eisner LLP

New York, New York
January 20, 2006
<PAGE>

     (3) Exhibits

<Table>
<Caption>
EXHIBIT                           DESCRIPTION OF EXHIBIT
-------                           ----------------------
<C>      <C>   <S>
 31.1      --  Section 302 Certification of Chief Executive Officer*
 31.2      --  Section 302 Certification of Chief Financial Officer*
 32.1      --  Section 906 Certification of Chief Executive Officer*
 32.2      --  Section 906 Certification of Chief Financial Officer*
</Table>

---------------

* Filed herewith
<PAGE>

                                   SIGNATURES

     Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.

                                          BKF CAPITAL GROUP, INC.

                                          By:      /s/ J. CLARKE GRAY
                                            ------------------------------------
                                                       J. Clarke Gray
                                                 Senior Vice President and
                                                  Chief Financial Officer

Date: March 23, 2006
<PAGE>

                                 EXHIBIT INDEX

<Table>
<Caption>
  EXHIBIT                               DESCRIPTION OF EXHIBIT
  -------                               ----------------------
<S>            <C>   <C>
    31.1....   --    Section 302 Certification of Chief Executive Officer
    31.2....   --    Section 302 Certification of Chief Financial Officer
    32.1....   --    Section 906 Certification of Chief Executive Officer
    32.2....   --    Section 906 Certification of Chief Financial Officer
</Table>