In this work, diatomaceous earth (Diat) was explored as filler for polycaprolactone (PCL) to obtain composite green materials with promising viscoelastic and thermal properties. The composites were prepared by blending variable Diat amounts (5, 15 and 50 wt%) with a molten PCL matrix. The viscoelastic characteristics of PCL/Diat hybrids were studied by Dynamic Mechanical Analysis (DMA) under an oscillatory regime, while the thermal properties were determined by Differential Scanning Calorimetry (DSC) and Thermogravimetric Analysis (TGA). We detected that the presence of Diat enhances the energy storage capacity of PCL for temperatures lower than the polymer melting point. Both DMA and DSC data revealed that the PCL melting temperature is slightly affected by the Diat addition, while the TGA results showed that the thermal stability of the polymer can be significantly improved by mixing PCL with diatomaceous earth. Moreover, we observed that the dispersion of Diat into the matrix favors the crystallization process of PCL. Interestingly, the improvements of PCL properties (elasticity, thermal stability, and crystallinity) are proportional to the Diat concentration of the composites. These findings reflect the interfacial compatibility between PCL and diatomaceous earth. In conclusion, this study highlights that the preparation of PCL/Diat hybrids by melt blending is suitable for the development of composite materials for technological applications, including the remediation of air pollutants within museum environments.