Paper is one of the most promising materials for food packaging and wrapping due to its low environmental impact, but surface treatments are often needed to improve its performance, e.g., the resistance to fats and oils. In this context, this research is focused on the formulation of a new paper bio-coating. Paper was coated with liquids containing poly(hexano-6-lactone) (PCL), glycerol and variable percentages of starch (5–10% w/w PCL dry weight), agar-agar (0–1.5% w/w PCL dry weight), and polyethylene glycol (PEG) (5% or 15% w/w PCL dry weight) to improve coating uniformity and diffusion. A design of experiments approach was implemented to find statistically reliable results in terms of the best coating formulation. Coated paper was characterized through mechanical and physical properties. Results showed that agar content (1.5% w/w PCL dry weight) has a beneficial effect on increasing the resistance to oil. Furthermore, the best coating composition has been calculated, and it is 10% w/w PCL dry weight of starch, 1.5% w/w PCL dry weight of agar, and 15% w/w PCL dry weight of PEG.