Osteosarcomas are highly malignant tumors, which develop rapid growth and local infiltration, inducing metastases that spread primarily in the lung. Treatment of these tumors is mainly based on pre- and post-operative chemotherapy and surgery of the primary tumor. Surgical resection though, generates bone defects. Reparation of these weaknesses presents formidable challenges to orthopedic surgery. Medicine regenerative grafts that act as both tumor therapy with constant local drug delivery and tissue regeneration may provide a new prospect to address this need. These implants can provide sustained drug release at the cancer area, decreasing systemic second effects such as inflammation, and a filling of the resected tissues with regenerative biomaterials. In this study microporous poly-ε-caprolactone (PCL) scaffolds have been developed for sustained local release of anti-inflammatory drug dexamethasone (DXM), used as drug model, in cancer medicine regenerative field. The microporous PCL matrix of the scaffolds supported the attachment, proliferation and osteogenic differentiation of osteoblast-like cells, while the polyelectrolyte multilayers, anchored to the inner pore surfaces, sustained locally DXM release. These microporous scaffolds demonstrate the ability to deliver DXM as a localized tumor therapy and to promote proliferation and differentiation of osteoblast-like cells in vitro.