Porous membranes based on poly(D,L-lactide)/poly(ε-caprolactone) (PDLLA/PCL) blends intended for use as scaffolds in tissue engineering, characterized by an enrichment of the PCL minor phase onto the surfaces, have been prepared. This peculiar structure, that has been called “sandwich-like” as one of the component mainly locates on the surfaces while the other component is the main constituent of the core phase, has been obtained through a solvent–non solvent technique combined with the leaching out of an appropriate porogen. The membranes have been characterized through ¹H-NMR spectroscopy, differential scanning calorimetry (DSC), and scanning electron microscopy (SEM). The “spontaneous” realization of the sandwich structure has been confirmed by attenuated total reflectance-Fourier transform infrared spectroscopy (ATR-FTIR). The influence of the addition of PCL–poly(ethylene oxide) (PEO) copolymers of different architecture and composition as compatibilizing agent on the morphology and structure of membranes has been investigated. Moreover, a new synthetic strategy to prepare a PCL-g-PEO graft copolymer is reported. A mechanism that gives rise to the phenomenon of PCL surface enrichment is proposed.