The main goal in this work was to prepare and characterize a kind of novel superparamagnetic poly(epsilon-caprolactone)/Fe3O4@graphene oxide (PCL/Fe3O4@GO) nanocomposites via facile in situ polymerization. Fabrication procedure included two steps: (1) GO nanosheets were decorated with Fe3O4 nanoparticles by an inverse co-precipitation method, which resulted in the production of the magnetite/GO hybrid nanoparticles (Fe3O4@GO); (2) incorporation of Fe3O4@GO into PCL matrix through in situ polymerization afforded the magnetic nanocomposites (PCL/Fe3O4@GO). The microstructure, morphology, crystallization properties, thermal stability and magnetization properties of nanocomposites were investigated with various techniques in detail. Results of wide-angle X-ray diffraction showed that the incorporation of the Fe3O4@GO nanoparticles did not affect the crystal structure of PCL. Images of field emission scanning electron microscope and transmission electron microscopy showed Fe3O4@GO nanoparticles evenly spread over PCL/Fe3O4@GO nanocomposites. Differential scanning calorimeter and polar optical microscopy showed that the crystallization temperature increased and the spherulites size decreased by the presence of Fe3O4@GO nanoparticles in the nanocomposites due to the heterogeneous nucleation effect. Thermogravimetric analysis indicated that the addition of Fe3O4@GO nanoparticles reduced the thermal stability of PCL in the nanocomposites. The superparamagnetic behavior of the PCL/Fe3O4@GO nanocomposites was testified by the superconducting quantum interference device magnetometer analysis. The obtained superparamagnetic nanocomposites present potential applications in tissue engineering and targeted drug delivery.