Polycaprolactone (PCL) and thermoplastic polyurethane (TPU), are the most common shape-memory materials, but towards PCL/TPU blends, little attention was paid to the FDM printability and shape memory properties. Therefore, according to the PCL/TPU composites with different compositions, this work focus on the process parameters in fabricating composites filament and 3D printing (FDM), properties characterization analysis (i.e., TGA, DSC, FTIR, SEM, mechanical features, shape-memory effects). Combining TGA with FTIR analysis, we can find out that the FDM printing process does not affect the thermal properties of PCL/TPU composites, and no new chemical groups appeared. By mechanical testing, the tensile strength decreased with the increasing TPU content of the blends, which is also consistent with SEM measurements. Moreover, the DSC measurements can assist in testing the shape memory recovery ratio and shape memory fixity rate of each PCL/TPU composite and verify there is no evident effect of 3D printing process parameters on shape memory effects. Finally,3D printing (FDM) functional structures further demonstrate the shape memory properties of the new composite. In summary, this work can provide some experimental foundation and process guidance of one category of new material.