Topical eye drop approaches to treat ocular inflammation in dry eyes often face limitations such as low efficiency and short duration of drug delivery. Nanofibers serve to overcome the limitation of the short duration of action of topical eye drops used against ocular inflammation in dry eyes. Several attempts to develop suitable nanofibers have been made; however, there is no ideal solution. Here, we developed polycaprolactone (PCL) nanofibers loaded with dexamethasone acetate (DEX), prepared by electrospinning, as a potential ocular drug delivery platform for corneal injury treatment. Thirty-nine Sprague Dawley rats (7 weeks old males) were divided into four treatment groups after alkaline burns of the cornea; negative control (no treatment group); dexamethasone eyedrops (DEX group); PCL fiber (PCL group); dexamethasone loaded PCL (PCL + DEX group). We evaluated therapeutic efficacy of PCL + DEX by examining the epithelial wound healing effect, the extent of corneal opacity and neovascularization. Additionally, various inflammatory factors, including IL-1β, were investigated through immunochemistry, western blot analysis, and quantitative real-time RT-PCR (qRT-PCR). PCL + DEX group showed histologically alleviated signs of corneal inflammation compared with DEX group, which showed a decrease in IL-1β and MMP9 in the corneal stroma. The quantitative expression on day 1 after alkaline burn of pro-inflammatory markers, including IL-1β and IL-6, in the PCL + DEX group was significantly lower than that in the DEX group. Notably, PCL + DEX treatment significantly suppressed neovascularization, and enhanced the anti-inflammatory function of DEX during the acute phase of ocular inflammation. Collectively, these findings suggest that PCL + DEX may be a promising approach to effective drug delivery in corneal burn injuries.