Interest in the use of poly(ethylene glycol)-b-polycaprolactone diblock copolymers in a targeted, magnetically triggered drug delivery system has led to this study of the phase behavior of the polycaprolactone core. Four different diblock copolymers were prepared by the ring-opening polymerization of caprolactone from the alcohol terminus of poly(ethylene glycol) monomethylether, M(n) ≈ 2000. The critical micelle concentration depended on the degree of polymerization for the polycaprolactone block and was in the range of 2.9 to 41 mg/L. Differential scanning calorimetry curves for polymer solutions with a concentration above the critical micelle concentration showed a melting endotherm in the range of 40 to 45 °C, indicating the polycaprolactone core was semicrystalline. Pyrene was entrapped in the micelle core without interfering with the ability of the polycaprolactone to crystallize. When the polymer solution was heated above the melting point of the micelle core, the pyrene was free to leave the core. Temperature-dependent measurements of the critical micelle concentration and temperature-dependent dynamic light scattering showed that the micelles remain intact at temperatures above the melting point of the polycaprolactone core.