Poly(epsilon-caprolactone) (PCL) is one of the leading biocompatible and biodegradable polymers. However, the mechanical property of PCL is relatively poor as compared with that of polyolefins, which has limited the active applications of PCL as an industrial material. In this study, to enhance the mechanical property of PCL, cellulose nanofibers (C-NF) with high mechanical property, were employed as reinforcement materials for PCL. The C-NF were fabricated via the electrospinning of cellulose acetate (CA) followed by the subsequent saponification of the CA nanofibers. For the enhancement of the mechanical property of the PCL composite, the compatibility of C-NF and PCL was investigated: the surface modification of the C-NF was introduced by the ring-opening polymerization of the epsilon-caprolactone on the C-NF surface (C-NF-g-PCL). The polymerization was confirmed by the Fourier transform infrared (FTIR) spectroscopy. Tensile testing was performed to examine the mechanical properties of the C-NF/PCL and the C-NF-g-PCL/PCL. At the fiber concentration of 10 wt%, the Young's modulus of PCL compounded with neat C-NF increased by 85% as compared with that of pure PCL, while, compounded with C-NF-g-PCL, the increase was 114%. The fracture surface of the composites was analyzed by scanning electron microscopy (SEM). From the SEM images, it was confirmed that the interfacial compatibility between PCL and C-NF was improved by the surface modification. The results demonstrated that the effective surface modification of C-NF contributed to the enhancement of the mechanical property of PCL.