The poor interfacial adhesion between silk fiber and polyester species remains a critical problem for the optimal mechanical performance of silk-reinforced polyester composites. Here, we investigated in quantitative terms the interfacial properties between natural silk fibers and polycaprolactone (PCL) at nano-, micro-, and macroscales and fabricated continuous silk-PCL composite filaments by melt extrusion and drawing processing of PCL melt at 100, 120, and 140 °C. Bombyx mori (Bm) silk, Antheraea pernyi (Ap) silk, and polyamide6 (PA6) fiber were compared to the composite with PCL. The Ap silk exhibited the highest surface energy, the best wettability, and the largest interfacial shear strength (IFSS) with PCL. The silk-PCL composite from the 120 °C melt processing displayed the highest tensile modulus, implying an optimal temperature for interfacial adhesion. The Raman imaging technique revealed in detail the nature of the physical fusion of the interface phase in these silk-and polyamide-reinforced PCL composites. This work is intended to lay a foundation for the design and processing of robust composites from continuous silk fibers and bioresorbable polyesters for potential structural biomaterials.