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Photodynamic therapy (PDT) using methylene blue (MB) as a photosensitizer has emerged as an alternative treatment for skin cancers, such as squamous cell carcinoma (SCC). To increase the cutaneous penetration of the drug, some strategies are used, such as the association of nanocarriers and physical methods. Thus, herein we address the development of nanoparticles based on poly-Ɛ-caprolactone (PCL), optimized with the Box–Behnken factorial design, for topical application of MB associated with sonophoresis. The MB-nanoparticles were developed using the double emulsification-solvent evaporation technique and the optimized formulation resulted in an average size of 156.93 ± 8.27 nm, a polydispersion index of 0.11 ± 0.05, encapsulation efficiency of 94.22 ± 2.19% and zeta potential of −10.08 mV ± 1.12. Morphological evaluation by scanning electron microscopy showed spherical nanoparticles. In vitro release studies show an initial burst compatible with the first-order mathematical model. The nanoparticle showed satisfactory generation of reactive oxygen species. The MTT assay was used to assess cytotoxicity and IC50; values of 79.84; 40.46; 22.37; 9.90 µM were obtained, respectively, for the MB-solution and the MB-nanoparticle without and with light irradiation after 2 h of incubation. Analysis using confocal microscopy showed high cellular uptake for the MB-nanoparticle. With regard to skin penetration, a higher concentration of MB was observed in the epidermis + dermis, corresponding to 9.81, 5.27 μg/cm2 in passive penetration and 24.31 and 23.81 μg/cm2 after sonophoresis, for solution-MB and nanoparticle-MB, respectively. To the best of our knowledge, this is the first report of MB encapsulation in PCL nanoparticles for application in skin cancer using PDT.