Poly(vinyl chloride) (PVC) is the third most produced synthetic polymer in the world, irreplaceable in many applications including medical ones. The production of soft PVC presents a problem with volatile low-molecular plasticizers that can be harmful to human health. Therefore, they are often replaced with polymeric plasticizers, which are less effective and require higher processing temperature, however. In this work, we have studied a specific method of PVC plasticization consisting in the mixing of PVC with monomeric ε-caprolactone in a closed system. During thermal treatment of the mixture, in situ polymerization of the ε-caprolactone occurs, initiated by a tin stabilizer of PVC present in the mixture, which results in the formation of poly(ε-caprolactone), a non-toxic and bio-degradable polymeric plasticizer with various molar mass. In this way, a stable plasticized PVC material can be obtained, the thermal stability, softening range and mechanical properties of which correspond to the use of conventional plasticizers.