The employment of coaxial fibers for guided tissue regeneration can be extremely advantageous since they allow the functionalization with bioactive compounds to be preserved and released with a long-term efficacy. Antibacterial coaxial membranes based on poly-ε-caprolactone (PCL) and rifampicin (Rif) were synthesized here, by analyzing the effects of loading the drug within the core or on the shell layer with respect to non-coaxial matrices. The membranes were, therefore, characterized for their surface properties in addition to analyzing drug release, antibacterial efficacy, and biocompatibility. The results showed that the lower drug surface density in coaxial fibers hinders the interaction with serum proteins, resulting in a hydrophobic behavior compared to non-coaxial mats. The air-plasma treatment increased their hydrophilicity, although it induced rifampicin degradation. Moreover, the substantially lower release of coaxial fibers influenced the antibacterial efficacy, tested against Escherichia coli, Staphylococcus aureus, and Pseudomonas aeruginosa. Indeed, the coaxial matrices were inhibitory and bactericidal only against S. aureus, while the higher release from non-coaxial mats rendered them active even against E. coli. The biocompatibility of the released rifampicin was assessed too on murine fibroblasts, revealing no cytotoxic effects. Hence, the presented coaxial system should be further optimized to tune the drug release according to the antibacterial effectiveness.