Skin burns and ulcers are considered hard-to-heal wounds due to their high infection risk. For this reason, designing new options for wound dressings is a growing need. The objective of this work is to investigate the properties of poly (ε-caprolactone)/poly (vinyl-pyrrolidone) (PCL/PVP) microfibers produced via electrospinning along with sorbents loaded with Argovit™ silver nanoparticles (Ag-Si/Al2O3) as constituent components for composite wound dressings. The physicochemical properties of the fibers and sorbents were characterized using scanning electron microscopy (SEM), differential scanning calorimetry (DSC), Fourier transform infrared spectroscopy (FTIR) and inductively coupled plasma optical emission spectroscopy (ICP-OES). The mechanical properties of the fibers were also evaluated. The results of this work showed that the tested fibrous scaffolds have melting temperatures suitable for wound dressings design (58–60 °C). In addition, they demonstrated to be stable even after seven days in physiological solution, showing no macroscopic damage due to PVP release at the microscopic scale. Pelletized sorbents with the higher particle size demonstrated to have the best water uptake capabilities. Both, fibers and sorbents showed antimicrobial activity against Gram-negative bacteria Pseudomona aeruginosa and Escherichia coli, Gram-positive Staphylococcus aureus and the fungus Candida albicans. The best physicochemical properties were obtained with a scaffold produced with a PCL/PVP ratio of 85:15, this polymeric scaffold demonstrated the most antimicrobial activity without affecting the cell viability of human fibroblast. Pelletized Ag/Si-Al2O3-3 sorbent possessed the best water uptake capability and the higher antimicrobial activity, over time between all the sorbents tested. The combination of PCL/PVP 85:15 microfibers with the chosen Ag/Si-Al2O3-3 sorbent will be used in the following work for creation of wound dressings possessing exudate retention, biocompatibility and antimicrobial activity.