A six‐arm star‐shaped poly(ε‐caprolactone) (s‐PCL) based on cyclophosphazene core was obtained by presynthesis of a hydroxy‐teminated cyclophosphazene derivative and subsequent initiation of the ring‐opening polymerization of ε‐caprolactone, and its use in different proportions as toughening modifier of diglycidylether of bisphenol A/anhydride thermosets was studied. The star‐shaped polymer was characterized to have approximately 30 caprolactone units per arm. Differential scanning calorimetry revealed a nonsignificant influence on the curing process of the epoxy‐anhydride formulation by the addition of s‐PCL. The s‐PCL‐modified epoxy thermosets exhibited a great improvement in both toughness and strength compared with the neat resin, as the result of a joint effort by the internal rigid core and the external ductile polyester chains of s‐PCL. When the addition of the modifier was 3 wt %, an optimal mechanical and thermomechanical performance was achieved. The impact resistance and tensile strength of the cured epoxy resin were enhanced by 150% and 30%, respectively. The glass transition temperature was also increased slightly. Moreover, the addition of the star‐shaped modifier had little harmful effect on the thermal stability of the material. Thus s‐PCL was proved to be a superior toughening agent without sacrificing thermal and mechanical properties of the thermosets. © 2016 Wiley Periodicals, Inc. J. Appl. Polym. Sci. 2017, 134, 44384.