In the present work, nanowhiskers and microfibrillated cellulose (MFC) both extracted from sisal were used to reinforce polycaprolactone (PCL). We report the influence of the nanoparticle's nature on the mechanical and thermal properties of the ensuing nanocomposites. The surface of both the nanoparticles was chemically modified to improve their compatibilization with the polymeric matrix. N-Octadecyl isocyanate (C18H37NCO) was used as the grafting agent. PCL nanocomposite films reinforced with sisal whiskers or MFC (raw or chemically modified) were prepared by film casting. The thermal behavior (Tg, Tm, Tc, and degree of crystallinity) and the mechanical properties of the nanocomposites in both the linear and the nonlinear range were determined using differential scanning calorimetry (DSC), dynamical mechanical analysis (DMA), and tensile tests, respectively. Significant differences were reported according to the nature of the nanoparticle and amount of nanofillers used as reinforcement. It was also proved that the chemical treatment clearly improves the ultimate properties of the nanocomposites.