Poly(ε-caprolactone) (PCL) nanoparticles (NPs) offer many possibilities for drug transport because of their good physicochemical properties and biocompatibility. Doxorubicin-loaded PCL NPs have been synthesized to try to reduce the toxicity of doxorubicin (DOX) for healthy tissues and enhance its antitumor effect in two tumor models, breast and lung cancer, which have a high incidence in the global population. PCL NPs were synthesized using a modified nanoprecipitation solvent evaporation method. The in vitro toxicity of PCL NPs was evaluated in breast and lung cancer cell lines from both humans and mice, as was the inhibition of cell proliferation and cell uptake of DOX-loaded PCL NPs compared to free DOX. Breast and lung cancer xenografts were used to study the in vivo antitumor effect of DOX-loaded NPs. Moreover, healthy mice were used for in vivo toxicity studies including weight loss, blood toxicity and tissue damage. The results showed good biocompatibility of PCL NPs in vitro, as well as a significant increase in the cytotoxicity and cell uptake of the drug-loaded in PCL NPs, which induced almost a 98% decrease of the IC50 (E0771 breast cancer cells). Likewise, DOX-loaded PCL NPs led to a greater reduction in tumor volume (≈36%) in studies with C57BL/6 mice compared to free DOX in both lung and breast tumor xenograft models. Nevertheless, no differences were found in terms of mouse weight. Only in the lung cancer model were significant differences in mice survival observed. In addition, DOX-loaded PCL NPs were able to reduce myocardial and blood toxicity in mice compared to free DOX. Our results showed that DOX-loaded PCL NPs were biocompatible, enhanced the antitumor effect of DOX and reduced its toxicity, suggesting that they may have an important potential application in lung and breast cancer treatments.