Methoxy poly(ethylene glycol) (MPEG)-b-poly(ε-caprolactone) (PCL) diblock copolymer was synthesized by ring-opening of ε-caprolactone (ε-CL) in the presence of a monomer activator with the terminal alcohol of MPEG as an initiator. The temperature sensitive behavior of the prepared MPEG-PCL diblock copolymer solution was examined. The polymer solution formed translucent sol at the room temperature. As the temperature increased from room temperature, the sol became gel, indicating that the diblock copolymer solution at room temperature can form gel at body temperature. Brain-derived neurotrophic factor (BDNF) loaded MPEG-PCL diblock copolymer solution and Pluronic solution for comparison were prepared to examine the release behavior of BDNF. Pluronic gel exhibited nearly complete release of BDNF even at 2 day, while the release of BDNF in MPEG-PCL gel showed the prolonged release profile for 21 days. In this study, we confirmed that thermosensitive MPEG-PCL diblock copolymer in this work could utilize as a potential carrier of BDNF.