In this study, poly(ε-caprolactone) (PCL)/poly(ethylene oxide) (PEO) (50:50 wt%) immiscible blend was used as a model system to investigate the feasibility of a novel solventless fabrication approach that combines cryomilling, compression molding and porogen leaching techniques to prepare interconnected porous scaffolds for tissue engineering. PCL was cryomilled with PEO to form blend powders. Compression molding was used to consolidate and anneal the cryomilled powders. Selective dissolution of the PEO with water resulted in interconnected porous scaffolds. Sodium chloride salt (NaCl) was subsequently added to cryomilled powder to increase the porosity of scaffolds. The prepared scaffolds had homogeneous pore structures, a porosity of ~50% which was increased by mixing salt with the blend (~70% for 60% wt% NaCl), and a compressive modulus and strength (ε = 10%) of 60 and 2.8 MPa, respectively. The results of the study confirm that this novel approach offers a viable alternative to fabricate scaffolds.