Polycaprolactone (PCL)/epoxidized natural rubber (ENR) blends (PCL/ENR = 70/30, 50/50 wt/wt) were prepared by a melt mixing in an internal mixer in the presence of a small amount (0.5 and 1 phr) of dicumyl peroxide. The effect of peroxide crosslinking on thermal, mechanical, and rheological properties of the blends was investigated by means of DSC, tensile test, and small amplitude oscillating rheometer, respectively. It was revealed that peroxide crosslinking enhanced degree of crystallinity of PCL phase and its non-isothermal melt crystallization temperature. The crosslinked blends behave like a thermoplastic elastomer exhibiting high elongation-at-break and fairly good elastic recovery as well as melt processibility. From melt rheological analysis, the peroxide crosslinked blends showed more pronounced shear thinning effect and higher elasticity compared to simple blends.