Biodegradable polymers are widely used in bone tissue engineering to repair bone defects by providing biocompatible scaffolds with good mechanical support. Among them, three-dimensional (3D)-printed polycaprolactone (PCL) is commonly used due to its biocompatibility and compressive stability. However, its hydrophobicity and lack of osteogenic cues limit cell attachment and osteogenic differentiation. To address these limitations, 3D-printed PCL scaffolds were coated with polydopamine (PDA) to increase hydrophilicity, and milk-derived exosomes (EXOs) were immobilized on the surface to promote cell proliferation and induce osteogenic differentiation, thereby producing PDA–EXO scaffolds. EXOs represent a cell-free alternative for delivering growth factors and microRNA cargo that provide osteogenic cues for bone regeneration. PDA–EXO scaffolds demonstrated greater cell viability and proliferation compared to PCL and PDA scaffolds due to the synergistic effects of the PDA coating and the EXOs. The PDA–EXO scaffolds also led to better osteogenic differentiation compared to the other scaffolds. Taken together, these findings indicate that PDA enhanced surface hydrophilicity and that milk derived EXOs provided osteo inductive signals, thereby synergistically increasing cell proliferation and osteogenic differentiation while maintaining the scaffold’s mechanical properties. PDA–EXO functionalization, therefore, represents a practical, cell-free strategy to enhance PCL scaffolds for bone tissue engineering.