In this work, polycaprolactone-coated alumina scaffolds were produced and characterized to validate the concept of polymer–ceramic composites with increased fracture resistance. Alumina scaffolds were sintered using a foam replication technique. An open-porous structure was achieved with ∼70% porosity and 150 μm mean pore size. The polymer coating was obtained by infiltrating the scaffold with either a polycaprolactone solution or a polycaprolactone nanodispersion. The latter was obtained by an emulsion–diffusion technique. Dynamical Young modulus measurements and four-point bending tests were conducted to evaluate the mechanical properties of the composites. It was found that their elastic behaviour is controlled on the first order by the ceramic scaffold, while the fracture energy mainly depends on the polymer phase. A 10–20 vol.% addition of polycaprolactone to alumina scaffolds led to a 7- to 13-fold increase of the apparent fracture energy. SEM observations showed that toughening is due to crack bridging by polymer fibrils.