Cellulose acetate (CA) was modified with caprolactone (CL) under various reaction conditions in an internal mixer. The thermal behavior and relaxation transitions of the samples were determined by dynamic mechanical analysis and differential scanning calorimetry. Various relaxation transitions were detected in externally and internally modified cellulose acetate by DMTA. These were assigned to the glass transition of the main chain, to the movement of single glucose units and to hydroxymethyl groups. The β′ transition must belong to structural units larger than a single glucose ring and their formation must depend on sample preparation conditions. No transition could be assigned to grafted polycaprolactone (PCL) chains by DMTA. Contrary to other groups, we could not detect even the transitions of modified CA by DSC. Only the crystallization of oligomeric PCL homopolymer was observed mostly when it diffused to the surface of the sample.