Recently, electrospinning technology has been widely used as a processing method to make nanofiber sheets (NS) for biomedical applications because of its unique features, such as ease of fabrication and high surface area. To develop a sustained dexamethasone (Dex) delivery system, in this work, poly(-caprolactone-co-l-lactide) (PCLA) copolymer with controllable biodegradability was synthesized and further utilized to prepare electrospun Dex-loaded NS using water-insoluble Dex (Dex(b)) or water-soluble Dex (Dex(s)). The Dex-NS obtained by electrospinning exhibited randomly oriented and interconnected fibrillar structures. The and degradation of Dex-NS was confirmed over a period of a few weeks by gel permeation chromatography (GPC) and nuclear magnetic resonance (NMR). The evaluation of and Dex(b) and Dex(s) release from Dex-NS showed an initial burst of Dex(b) at day 1 and, thereafter, almost the same amount of release as Dex(b) for up to 28 days. In contrast, Dex(s)-NS exhibited a small initial burst of Dex(s) and a first-order releasing profile from Dex-NS. In conclusion, Dex-NS exhibited sustained and Dex(s) release for a prolonged period, as well as controlled biodegradation of the NS over a defined treatment period.