In this study, natural lecithin was incorporated into cholesterol-poly(ε-caprolactone) (Chol-PCL) by solution blending in order to modify the performance of the hydrophobic and bio-inert PCL. The fibrous Chol-PCL/lecithin membranes were fabricated by electrospinning, and the surface morphology and properties were characterized by scanning electron microscopy, X-ray photoelectron spectroscopy, static water contact angle, and mechanical tensile testing. The blood compatibility of the scaffolds was evaluated by in vitro hemolysis assay. The cytocompatibility of the scaffolds was investigated by cell adhesion and proliferation using bone-marrow mesenchymal stem cells (MSCs). Subcutaneous implantation was also performed to evaluate the in vivo inflammatory reaction. The tubular tissue-engineered vascular graft (TEVG) was further constructed by rolling cell sheet comprising fibrous membrane and MSCs. Furthermore, endothelial cells (ECs) were seeded onto the lumen of the graft with the aim to form vascular endothelium. The preliminary results indicate that electrospun Chol-PCL/lecithin scaffolds show improved hemocompatibility and cytocompatibility compared with neat Chol-PCL, and combining the Chol-PCL/lecithin fibrous scaffold with MSCs and ECs with well controlled distribution is a promising strategy for constructing TEVGs.