We report new injectable and thermosensitive hydrogels from polycaprolactone-graft-polyethylene glycol (PCL-g-PEG). The PCL-g-PEG polymer aqueous solution was injectable and formed a physical hydrogel at human body temperature. The rheological properties, sol–gel transition mechanisms, and in vitro degradation properties of PCL-g-PEG hydrogels were investigated. Rheological results demonstrate that hydrogels with tunable storage moduli (G′) that span four orders of magnitude, from 0.2 to 5500 Pa, can be obtained by varying polymer concentrations. Hydrophobic dye solubilization, dynamic light scattering, and X-ray diffraction results suggest that micelle aggregation and partial crystallization of the polycaprolactone segment lead to the sol–gel transition with increasing temperature. The degradation of PCL-g-PEG hydrogels was slow in the absence of the enzyme lipase, but can be substantially increased by lipase in a concentration-dependent manner. The PCL-g-PEG hydrogel has a low critical gelation concentration, high storage modulus, and easily handled solid morphology, representing great advantages over our previously developed structurally analogous PLGA-g-PEG. The results presented showcase the potential biomedical application of the versatile PCL-g-PEG hydrogels.