In this study, caffeine-loaded photoresin composites with homogeneous structures, suitable for additive manufacturing of transdermal microneedle systems, were obtained. The properties of the composites with varying caffeine concentrations (0.1–0.4% w/w) were investigated for carbon–carbon double bond conversion using Fourier Transform Infrared Spectroscopy, surface wettability and mechanical properties using a static tensile test and nanoindentation, and caffeine release in ethanol using UV-Vis. The caffeine concentration did not affect the final degree of double bond conversion, which was confirmed in tensile tests, where the strength and Young’s modulus of caffeine-loaded samples had comparable values to control ones. Samples with 0.1 and 0.2% caffeine content showed an increase in nanohardness and reduced elastic modulus of 50 MPa and 1.5 MPa, respectively. The good wettability of the samples with water and the increase in surface energy is a favorable aspect for the dedicated application of the obtained composite materials. The amount of caffeine released into the ethanol solution at 1, 3 and 7 days reached a maximum value of 81%, was higher for the lower concentration of caffeine in the sample and increased over time. The conducted research may enhance the potential application of composite materials obtained through the digital light processing method in additive manufacturing.