Synthetic polyesters have created a considerable attraction among the researchers over a few decades. Among them, polycaprolactone (PCL) is of great interest since the 1970s-1980s in various scientific and industrial fields. This particular aliphatic polyester is unique by its biocompatibility, biodegradability, physicochemical and mechanical properties. It can be synthesized through polycondensation and ring-opening polymerization techniques. PCL moiety is hydrophobic and capable of aggregates formation (through self-assembly behavior) after combining with a hydrophilic entity. These aggregates can form sophisticated architectures of huge biomedical applications. Here, in this critical review, we have thoroughly discussed the synthesis, physical and biological properties of PCL and their connectivity with the self-assembly behavior. We have mainly focused on its applications in the field of controlled drug release and tissue engineering.