Polybenzoxazines (PBzs) are advanced forms of phenolic resins that possess many attractive properties, including thermally induced self-curing polymerization, which produces void-free polymer products without any by-product formation. They also possess a high Tg (glass transition temperature) and thermal stability, but the produced materials are brittle in nature, due to which the final form of their application is very difficult. Hence, in this paper, an attempt has been made to overcome the brittleness of PBz by blending it with epoxy and ε-caprolactam (CPLA) to produce free-standing PBz/Epoxy/PCLA (polycaprolactam) films. The curing process between the three components (i.e., Bzo, epoxy, and caprolactam) was monitored using differential scanning calorimetric (DSC) analysis. The results show that there is no appreciable shift in curing the exotherm observed, except a slight shift in the curing process. However, the heat liberated during the exotherm (ΔH) decreases drastically from 121 to 84 J/g, indicating that the content of benzoxazine is very important as it is involved in the polymerization process through oxazine ring-opening. The morphological studies analyzed using SEM and AFM analyses indicate that there was no observable phase separation up to 30 wt.% of CPLA loading, whereas a higher CPLA content of 50 wt.% causes agglomeration and leads to distinctive phase separation. Moreover, the thermal stability of the composite film, PBz/Epoxy/PCLA30, is also increased with a 10% degradation temperature, T10, of 438 °C, when compared with an PBz/Epoxy film. From the obtained results, it is evident that the formation of a composite film through the melt blending process could produce a tough and thermally stable film without sacrificing individual properties.