Even though the biodegradability of polycaprolactone (PCL) and its nanocomposites is lower compared to other biodegradable polyesters, this property and its good biocompatibility are used in the development of materials for the drug delivery with a long-term effect. Thus, we prepared novel PCL/clay nanocomposite films with antimicrobials chlorhexidine diacetate (CH) or octenidine dihydrochloride (OCT) in combination with zinc oxide (ZnO), all anchored on vermiculite (VER). The structure of the prepared nanofillers for the PCL films was characterized by X-ray diffraction, Fourier transform infrared spectroscopy, scanning electron microscopy and particle size analysis. Based on these methods, the intercalation of the CH and OCT into the interlayer of VER/ZnOVER was confirmed as well as the increase in particle size and formation of new fraction. Compared to VER, the resulting nanofillers showed a positive ζ-potential indicating a relatively stable material, but in the case of ZnOVER_OCT, its value dropped too much, which was confirmed by strong agglomeration of particles. Thin PCL/clay nanocomposite films were prepared by solvent casting and evaporation method and the effect of used nanofillers on structural, thermal, mechanical and antimicrobial properties followed by degradation tests under hydrolytic conditions was studied. The results showed that presence of ZnO significantly decreases thermal and mechanical stability. The nanofillers with the higher hydrophilic character are responsible for the fastest degradation of the PCL matrix. All films possessed high antimicrobial efficiency in long time intervals, hence, these nanocomposites open new avenues for the possible application of such materials for the delivery of drugs with a long-term effect.