Tissue engineering (TE) is envisaged to play a vital role in improving quality of life by restoring, maintaining or enhancing tissue and organ functions. TE scaffolds that are two-dimensional in structure suffer from undesirable issues, such as pore blockage, and do not closely mimic the native extra-cellular matrix in tissues. Significant efforts have therefore been channeled to fabricate three-dimensional (3D) scaffolds using various techniques, especially electrospinning. In this study, we propose a modified one-step electrospinning process to arrive at a 3D scaffold with highly interconnected pores. Using a blend of poly (L-lactide)/polycaprolactone/poly (ethylene oxide), this mechanically viable, sponge-like 3D scaffold exhibited sufficiently large pores and enabled cell penetration beyond 500 μm. Dexamethasone (Dex) was loaded into the fibers and a sustained drug release was achieved. Further, the potential of this Dex-loaded 3D scaffold was evaluated for upregulation of osteogenic genes with mesenchymal stem cells. The as-produced Dex-loaded 3D scaffold possesses a unique intertwined sub-micron fibrous morphology that can be tailored for use in bone tissue engineering and beyond.