In this work, the biomedical applicability and physical properties of magnesium-based metallic glass/polycaprolactone (PCL) composites are explored. The composites were fabricated via mechanical alloying and subsequent coextrusion. The coextrusion process was carried out at a temperature near to the supercooled liquid region of the metallic glass and the viscous region of the polymer. The structures, as well as thermal and mechanical properties of the obtained samples were characterized, and in vivo investigations were undertaken. The composite samples possess acceptable thermal and mechanical properties. Tensile tests indicate the ability of the composites to withstand more than 100% deformation. In vivo studies reveal that the composites are biologically compatible and could be promising for biomedical applications.