Fish collagen has higher biocompatibility and lower immunogenicity than terrestrial collagen, and is currently one of the important raw materials for preparing biological materials. In this study, PEO was used as a spinning aid to prepare fish skin collagen-PCL nanofiber membranes by electrospinning, and the process was optimized to get smooth nanofibers. The morphological and mechanical properties of collagen-PCL nanofiber membranes were assessed by scanning electron microscopy (SEM). The changes in chemical composition due to the incorporation of collagen into PCL and PEO were determined by Fourier Transform infrared spectroscopy (FTIR). The biocompatibility of the collagen-PCL nanofiber membranes was evaluated in vitro in cultures of mouse fibroblasts and in vivo by subcutaneous implantation studies in rats. It was found that the diameter of the spun fibers became fine and smooth when the ratio of the collagen/PCL increased. The finally obtained nanofiber had good mechanical strength, porosity, and hydrophilicity, and could promote cell adhesion and proliferation. The FC-PCL nanofiber membrane prepared by this route opens a new way to prepare fish collagen biomaterials with electrospinning.