Excessive inflammation is one of the major causes of failure in the clinical repair of critical-sized bone defects, and the immune microenvironment plays a pivotal role in osteogenesis. An appropriate local immune response following biomaterial implantation is essential for successful bone tissue regeneration. In this study, a hydroxyapatite/montmorillonite nanoclay/polycaprolactone (HNP) composite scaffold was designed to modulate macrophage polarization and enhance bone regeneration and fabricated via 3D printing. The developed HNP scaffold maintained favorable mechanical strength while significantly promoting BMSC adhesion, proliferation, osteogenic cytokine secretion, and osteogenic differentiation. Moreover, the HNP scaffold modulated the bone immune microenvironment by suppressing M1 macrophage polarization and promoting a shift toward the M2 phenotype, thereby establishing a pro-osteogenic immune milieu. In vivo studies using a rat calvarial defect model demonstrated that, compared with other groups, the HNP scaffold markedly enhanced M2 macrophage polarization, promoted angiogenesis, and accelerated new bone formation. Overall, the 3D-printed HNP scaffold effectively regulated the immune microenvironment and facilitated bone regeneration and neovascularization, highlighting its great potential as a promising candidate for bone tissue engineering applications.