Superhydrophobic polycaprolactone (PCL) membranes with hierarchical structure were fabricated via alternate electrospinning/electrospraying techniques. Electrospun PCL/methyl silicone oil (PCL/MSO) nanofibers were employed as substrate. PCL/MSO‐PCL microspheres (PCL/MSO‐PCL MS) hierarchical membrane was prepared via electrosprayed PCL MS as an additional layer on the substrate. Field emission scanning electron microscopy images showed the formation of hierarchical PCL/MSO‐PCL MS membranes. Compared to pure PCL fibers substrate (120 ± 1.3°), the water contact angle (WCA) of MSO‐modified PCL membrane was 142 ± 0.7°. The most interesting observation was that the WCA of PCL MS without any modification could be achieved to 146 ± 2.8°. On this basis, PCL/MSO‐PCL MS hierarchical membrane possessed superhydrophobic surface with 150 ± 0.6° of WCA. The excellent surface roughness and air‐pocket capacity of hierarchical membranes would make the membranes more hydrophobic. The maximum oil ( n‐hexane) adsorption capacity of PCL/MSO‐PCL MS membrane was 32.53 g g −1. Oil–water separation efficiencies of the superhydrophobic membranes were all higher than 99.93% after 10 cycles. The hierarchically structured PCL superhydrophobic membranes indicate the potential applications of environmentally friendly biopolymers as separation membranes. © 2019 Wiley Periodicals, Inc. J. Polym. Sci., Part B: Polym. Phys. 2019, 57, 421–430