Novel green composites were prepared by melt compounding a binary blend of polylactide (PLA) and poly(ε-caprolactone) (PCL) at 4/1 (wt/wt) with particles of walnut shell flour (WSF) in the 10–40 wt % range, which were obtained as a waste from the agro-food industry. Maleinized linseed oil (MLO) was added at 5 parts per hundred resin (phr) of composite to counteract the intrinsically low compatibility between the biopolymer blend matrix and the lignocellulosic fillers. Although the incorporation of WSF tended to reduce the mechanical strength and thermal stability of PLA/PCL, the MLO-containing composites filled with up to 20 wt % WSF showed superior ductility and a more balanced thermomechanical response. The morphological analysis revealed that the performance improvement attained was related to a plasticization phenomenon of the biopolymer blend and, more interestingly, to an enhancement of the interfacial adhesion of the green composites achieved by extrusion with the multi-functionalized vegetable oil.