Biodegradable polymers are widely used in bone tissue engineering to repair bone defects by providing biocompatible scaffolds with good mechanical support. Among them, 3D-printed polycaprolactone (PCL) is commonly used for this purpose due to its biocompatibility and compressive stability. However, its hydrophobicity and lack of osteogenic cues limit cell attachment and osteogenic differentiation. To address these limitations, 3D-printed PCL scaffolds were coated with polydopamine (PDA) to increase hydrophilicity, and milk-derived exosomes (EXOs) were immobilized on the surface to promote cell proliferation and induce osteogenic differentiation, yielding PDA–EXO scaffolds. EXOs represent a cell-free alternative for delivery of growth factors and a microRNA cargo that provide osteogenic cues for bone regeneration. PDA–EXO scaffolds resulted in greater cell viability and proliferation compared to PCL and PDA scaffolds due to the synergistic effects of the PDA coating and the EXOs. They also resulted in better osteogenic differentiation compared to the other scaffolds. Taken together, these findings indicate that PDA enhanced surface hydrophilicity while milk-derived EXOs provided osteoinductive signals, thus synergistically increasing cell proliferation and osteogenic differentiation while maintaining the mechanical properties of the scaffold. PDA–EXO functionalization, therefore, represents a practical, cell-free strategy to enhance PCL scaffolds for bone tissue engineering.