Improving the loading capacity of a hydrophobic drug and sustaining the release duration of a hydrophilic drug are still big challenges for local drug delivery systems. We synthesized a series of poly(ε-caprolactone)–poly(ethylene glycol)–poly(ε-caprolactone) triblock copolymers (PCECs) by introducing PEG6000 with relatively high molecular weight. It was confirmed that PCECs containing PCL with Mn 1000, 1250 and 1350 could form injectable solutions via self-assembly and automatically turned into non-flowing gels at physiological temperatures. Hydrophobic indomethacin was effectively loaded into PCEC by a modified dialysis method and the anti-inflammation efficacy was maintained for more than 15 days on complete Freund's adjuvant-induced chronic arthritis rats. As for water soluble doxorubicin hydrochloride, just mixed with PCEC, the most significant anti-tumor action against S180 xenograft tumors in mice with the avoidance of cardiomyocyte damage was achieved during 12 day treatment due to sustained drug release. Therefore, these thermosensitive PCEC polymers have potential superiority for local sustained delivery of hydrophobic or hydrophilic drug.