We developed a novel melt-based embedded printing strategy to fabricate polycaprolactone (PCL) structures with complex overhanging geometries within a thermally stable supporting matrix. By optimising the concentration of the supporting matrix, process parameters, and inter-filament thickness, continuous PCL filaments can be stably printed with the smallest width of 50.6 ± 4.7 μm. The one-step in situ post-solidification process provides a unique approach to regulate the surface morphology of the printed filaments, and reduce structural anisotropy. Various 3D structures with overhanging geometries, such as truss structures and flexible scaffolds were successfully fabricated by melt-based embedded printing. The effective modulus of the printed flexible PCL scaffolds can be widely tuned in the range of 867.4 ± 21.6 to 9.1 ± 1.2 kPa by adjusting the design parameters. We envision that the presented strategy might provide an innovative tool to fabricate flexible polymeric scaffolds with complex structural organisations for soft tissue engineering.