A well-defined novel α-cholesterol and ω-pyrene heterobifunctional poly(ε-caprolactone) (Chol-PCL-Pyr) was synthesized by a combination of ring-opening polymerization (ROP) and “click” chemistry techniques. A cholesterol compound with hydroxyl functional group was used as the initiator in the ROP of ε-caprolactone (ε-CL) to prepare α-cholesterol-ω-hydroxy PCL polymer (Chol-PCL-OH). ω-Hydroxy functionality of Chol-PCL-OH was then successfully converted into bromide and azide. Further end-group modification of ω-azide poly(ε-caprolactone) (Chol-PCL-N3) was achieved quantitatively by copper (I)-catalyzed cycloaddition of azide functional group and 1-ethynyl pyrene, which led to the desired PCL with α-cholesterol and ω-pyrene groups (Chol-PCL-Pyr). The effect of molar ratio of ε-CL to the initiator on the molecular weight of the obtained Chol-PCL-Pyr was also investigated.