The mechanical insufficiency and slow degradation of polycaprolactone (PCL) implants have attracted widespread attention among researchers. Herein, a PCL scaffold with self-setting properties containing calcium sulfate hemihydrate (CSH) was prepared using a triply periodic minimal surfaces (TPMS) design and selective laser sintering (SLS) technology. The results showed that the strength of the scaffold containing 10 wt% CSH was increased by 45.5% compared to the PCL one. More importantly, its strength can be further increased to 1.7 times that of the PCL scaffold after self-setting in water. Mechanism analysis suggests that mechanical strengthening can be attributed to the pinning effect through the newly grown columnar crystals embedded with PCL molecular chains. In addition, the degradation rate of the composite scaffold was approximately 6.8 times higher than that of the PCL one. The study believes that the increase in degradation rate is due to a dual effect, specifically the increase in permeability and the catalytic degradation of PCL in the acidic environment. Encouragingly, the composite scaffold showed a good ability to induce hydroxyapatite formation. Therefore, the self-setting mechanically enhanced composite scaffold is expected to have potential application prospects in bone defect repair.