Polycaprolactone (PCL) is one of the most used synthetic polymers for medical applications due to its biocompatibility and slow biodegradation character. Combining the inherent properties of the PCL matrix with the characteristic of nanofibrous particles, result into promising materials that can be suitable for different applications, including the biomedical applications. The advantages of nanofibrous structures include large surface area, a small diameter of pores and a high porosity, which make them of great interest in different applications. Electrospinning, as technique, has been heavily used for the preparation of nano- and micro-sized fibers. This review discusses the different methods for the electrospinning of PCL and its composites for advanced applications. Furthermore, the steady state conditions as well as the effect of the electrospinning parameters on the resultant morphology of the electrospun fiber are also reported.