In this work, the copolymers ethylene-glycidyl methacrylate (E-GMA), ethylene methyl methacrylate-glycidyl methacrylate (EMA-GMA), and styrene-(ethylene-butylene)-styrene grafted with maleic anhydride (SEBS-g-MA) were used to compatibilize polystyrene (PS)/poly(caprolactone) (PCL) blends. The blends were processed in a co-rotating twin-screw extruder and injection molded. Samples were investigated by torque rheometry, capillary rheometry, impact strength, tensile strength, heat deflection temperature (HDT), dynamic-mechanical thermal analysis (DMTA), thermogravimetry (TG), and scanning electron microscopy (SEM). Torque rheometry indicated that glycidyl methacrylate functional groups and maleic anhydride groups interact with PCL. Capillary rheometry evidenced that at shear rates lower than 10,000 s−1, the PS/PCL/SEBS-g-MA blends presented the highest apparent viscosity among the blends. Such behavior was possibly due to the good interaction between SEBS-g-MA and the PS and PCL phases. Consequently, the properties of impact strength, elongation at break, tensile strength, and elastic modulus were improved by 30%, 109%, 33.8%, and 13.7%, respectively, compared with the non-compatibilized PS/PCL system. There was a reduction in the HDT of all blends compared with neat PS, given the elastomeric characteristics of PCL and compatibilizers. The DMTA results revealed two independent peaks in the blends (one around −53 °C concerning the PCL phase and another at 107 °C related to PS), confirming their immiscibility. The PS/PCL/SEBS-g-MA blends showed higher morphological stability, confirming their good mechanical properties.