Well-defined 3-miktoarm star copolymer 3μ-HBPE(PCL)2 (HBPE: hyperbranched polyethylene, PCL: poly[ε-caprolactone]) was synthesized by combining chain walking polymerization (CWP), ring-opening polymerization (ROP), and “click” chemistry. The synthetic methodology includes the following steps: (a) synthesis of in-chain ethynyl-functionalized PCL, (PCL)2-C ≡ CH by ROP of ε-caprolactone (CL) with ethylene-functionalized solketal (3-[prop-2-yn-1-yloxy] propane-1,2-diol) as difunctional initiator and phosphazene superbase t-BuP2 as catalyst; (b) synthesis of azido-functionalized hyperbranched PE (HBPE-N3) by CWP of ethylene with α-diimine-Pd(II) catalyst, followed by quenching with excess 4-vinylbenzyl chloride and transformation of chloro to azide group with sodium azide; and (c) “clicking” HBPE-N3 and (PCL)2-C ≡ CH using copper(I)-catalyzed azide–alkyne cycloaddition. 1H NMR spectroscopy, gel permeation chromatography, Fourier-transform infrared spectroscopy, and differential scanning calorimetry were used to determine the molecular characteristics and thermal properties of the polymers. Self-assembly behavior of 3μ-HBPE (PCL)2 in petroleum ether, a selective solvent for HBPE, was investigated by dynamic light scattering, atomic force microscopy, and transmission electron microscopy. The in-chain alkyne-functionalized poly(ε-caprolactone) is a valuable precursor for PCL-based complex macromolecular architectures.