The distribution of hazelnut oil (HNO) in a melt-processed co-continuous blend of poly(ε-caprolactone) (PCL) and polyethylene oxide (PEO) shows the formation of a dense array of self-assembled HNO microdroplets at the PCL/PEO interface, as revealed by electron and Fourier transform infrared (FTIR) microscopy. The microstructure formation is dominated by thermodynamics and corresponds to a partial wetting type of morphology, as predicted by a set of three spreading coefficients, where all three phases meet along a common line of contact. The effects of oil concentration (2.5–10%) on the microdroplets size is investigated at two mixing temperatures, 100 and 150°C. Interestingly, the interfacial microdroplets do not perturb the co-continuous morphology, are particularly stable, and demonstrate almost no size dependence on oil concentration. This work opens up new perspectives for material design comprising active agent transfers at interfaces.