In this article, nano-magnetite particles (ferrofluid, Fe3O4) were prepared by chemical co-deposition method. A series of biodegradable triblock poly(epsilon-caprolactone)-poly(ethylene glycol)-poly(epsilon-caprolactone) (PCL-PEG-PCL, PCEC) copolymers were synthesized by ring-opening polymerization method from epsilon-caprolactone (epsilon-CL) initiated by poly(ethylene glycol) diol (PEG) using stannous octoate as catalyst. And the magnetic PCEC composite microspheres were prepared by solvent diffusion method. The properties of the ferrofluid, PCEC copolymer, and magnetic PCEC microspheres were studied in detail by SEM, VSM, XRD, Malvern Laser Particle Sizer, 1H-NMR, GPC, and TG/DTG. Effects of macromolecular weight and concentration of polymer, and the time for ultrasound dispersion on properties of magnetic microspheres were also investigated. The obtained magnetic PCEC microspheres might have great potential application in targeted drug delivery system or cell separation.