Electrospinning was used to produce fibrous membranes, in single and multiple layers, from poly(ε-caprolactone), pullulan, and from mixtures of poly(ε-caprolactone) with potato modified starch and β-glucan. It was possible to obtain single-layer membranes from solutions of pullulan in water, poly(ε-caprolactone) in chloroform, and from mixtures of poly(ε-caprolactone)/β-glucan and poly(ε-caprolactone)/potato modified starch in chloroform. Scanning electron microscopy images showed the formation of ultrathin homogeneous fibers from electrospun poly(ε-caprolactone) and pullulan, whereas the fibers obtained from mixtures of poly(ε-caprolactone)/ β -glucan and poly(ε-caprolactone)/potato modified starch had different sizes and morphologies, as well as irregular microstructures, characterized by the presence of beads. Contact angle analyses showed that pullulan membranes were extremely hydrophilic, while poly(ε-caprolactone) membranes were predominantly hydrophobic. Subsequently, poly(ε-caprolactone)-pullulan-poly(ε-caprolactone) multilayer membranes, with intermediate wettability, were prepared by successive electrospinning steps. Infrared spectroscopy and calorimetric analyses showed the presence of both polymers and the absence of changes in their structure and stability due to electrospinning, indicating adequate compatibility between the two polymers. We foresee that the polyester-polysaccharide multilayer membrane might be used as a biodegradable vehicle for active agents with different hydrophobicity, with applications as food packaging and biocompatible scaffold materials.