Aliphatic polyesters/cellulose composites have attracted a lot attention due to the perspectives of their application in biomedicine and the production of disposable materials, food packaging, etc. Both aliphatic polyesters and cellulose are biocompatible and biodegradable polymers, which makes them highly promising for the production of “green” composite materials. However, the main challenge in obtaining composites with favorable properties is the poor compatibility of these polymers. Unlike cellulose, which is very hydrophilic, aliphatic polyesters exhibit strong hydrophobic properties. In recent times, the modification of cellulose micro- and nanomaterials is widely considered as a tool to enhance interfacial biocompatibility with aliphatic polyesters and, consequently, improve the properties of composites. This review summarizes the main types and properties of cellulose micro- and nanomaterials as well as aliphatic polyesters used to produce composites with cellulose. In addition, the methods for noncovalent and covalent modification of cellulose materials with small molecules, polymers and nanoparticles have been comprehensively overviewed and discussed. Composite fabrication techniques, as well as the effect of cellulose modification on the mechanical and thermal properties, rate of degradation, and biological compatibility have been also analyzed.