Supercritical carbon dioxide was used to obtain porous polycaprolactone (PCL) patches impregnated with nimesulide. PCL is a semicrystalline biodegradable polyester that can be used in drug delivery, and nimesulide is a non-steroidal anti-inflammatory drug, which has good solubility in supercritical CO2. The foaming of PCL and its impregnation with nimesulide were carried out in a one-step procedure. The effect of operating conditions, such as pressure, temperature, polymer molecular weight and contact times on the foaming of PCL were studied; then, the simultaneous foaming of PCL and impregnation of nimesulide was attempted. The morphologies of the foamed polymer and of the impregnated structure were investigated using Field emission scanning electron microscopy; moreover, PCL/nimesulide patches were characterized through solid state analysis (differential scanning calorimetry and Fourier transform infrared spectroscopy). The release analyses through UV-vis spectroscopy revealed that the nimesulide release was significantly delayed; therefore, the PCL/nimesulide patches can be used for controlled release formulations.