In the present work, microfibrillated cellulose (MFC) made from bleached sulfite softwood dissolving pulp was utilized to reinforce a poly(ε-caprolactone) (PCL) biopolymer matrix. To improve the dispersibility of the hydrophilic MFC in the nonpolar matrix and the interfacial adhesion in the composite material, we covalently grafted the MFC with PCL via ring-opening polymerization (ROP) of ε-caprolactone (ε-CL). To be able to investigate the effect of the PCL graft length on the mechanical properties of the composite material, we performed ROP to different molecular weights of the grafts. Bionanocomposites containing 0, 3, and 10 wt % MFC were prepared via hot pressing using both unmodified and PCL grafted MFC (MFC-g-PCL) as reinforcement. PCL grafting resulted in improved dispersion of the MFC in a nonpolar solvent and in the PCL matrix. The mechanical testing of the biocomposites showed an improvement in the mechanical properties for the PCL grafted MFC in comparison to ungrafted MFC. It was also shown that there was an impact on the mechanical properties with respect to the PCL graft lengths, and the strongest biocomposites were obtained after reinforcement with MFC grafted with the longest PCL graft length.