The aim of this study was the design of poly(ε-caprolactone) (PCL) scaffolds characterized by well controlled pore structures obtained by gas foaming of multi-phase blends of PCL and thermoplastic gelatin (TG). Co-continuous blends made of PCL and TG were prepared by melt mixing and, subsequently gas foamed in an autoclave to induce the formation of the porous network. A mixture of N2 and CO2 was used as blowing agent and the foaming process performed at temperature higher than PCL melting, in the range 70–110 °C. The foams were finally soaked in water at 37 °C to selectively extract the TG and achieve the final pore structure. The results of this study demonstrated that the proposed approach allowed to tailor the micro-structural properties of PCL scaffolds for tissue engineering.