Additive manufacturing (AM) through material extrusion (MEX) is becoming increasingly popular worldwide due to its simple, sustainable and safe technique of material preparation, with minimal waste generation. This user-friendly technique is currently extensively used in diverse industries and household applications. Recently, there has been increasing attention on polycaprolactone (PCL)-based composites in MEX due to their improved biodegradability. These composites can be printed at a lower temperature, making them more energy efficient compared to commercial filaments such as acrylonitrile butadiene styrene (ABS) and polylactic acid (PLA). Although wool is the leading protein fibre in the world and can be more compatible with PCL due to its inherent hydrophobicity, the suitability of MEX using a wool/PCL combination has not been reported previously. In the current study, waste wool/PCL composite parts were printed using the MEX technique, and rheology, thermal and tensile properties, and morphology were analysed. The impact of wool loading (10% and 20%) was investigated in relation to different filling patterns (concentric, rectilinear and gyroid). Furthermore, the impact of fibre fineness on the final material produced through MEX was investigated for the first time using two types of wool fibres with diameters of 16 µm and 24 µm. The yield strength and modulus of PCL increased with the inclusion of 10% wool, although the elongation was reduced. The crystallinity of the composites was found to be reduced with wool inclusion, though the melting point of PCL remained mostly unchanged with 10% wool inclusion, indicating better compatibility. Good miscibility and uniform structure were observed with the inclusion of 10% wool, as evidenced by rheology and morphology analysis. The impact of fibre fineness was mostly minor, though wool/PCL composites showed improved thermal stability with finer diameter of wool fibres. The printed specimens exhibited an increasing rate of biodegradation in marine water, which was correlated to the amount of wool present. Overall, the results demonstrate the practical applicability of the wool/PCL composition in MEX for the preparation of varied objects, such as containers, toys and other household and industrial items. Using wool/PCL combinations as regular plastics would provide a significant environmental advantage over the non-degradable polymers that are currently used for these purposes.