There are a few shape memory polymers (SMPs) like polylactic acid (PLA) and polyurethane (PU) that are 4D printable, and other SMPs must be synthesized with a complicated chemical lab effort. Herein, considering dual‐material extrusion printing and microscopic mechanism behind shape memory effect (SME), bilayer‐encapsulated polycaprolactone (PCL)–thermoplastic polyurethane (TPU) shape memory composite structures are 4D printed for the first time. The SME performance is investigated by assessing fixity, shape recovery, stress recovery, and stress relaxation under bending and compression loading modes. PCL, TPU, and melting temperature of PCL play the role of switching phase, net point, and transition temperature, respectively. Due to the destruction and dripping of molten PCL in contact with water, PCL is encapsulated by TPU. Encapsulation successfully solves the challenge of bonding/interface between printed layers, and the results show that the SME performance of the encapsulated structures is higher than bilayer PCL–TPU one's. Experiments reveal that maximum stress recovery in 4D‐printed composites remains constant over time. This is a great achievement compared to the previous extrusion‐based SMP structures that have great weakness in stress relaxation due to weak and low crystalline fractions and the unraveling of molecular entanglements in semicrystalline and amorphous thermoplastic SMPs, respectively.