We have previously reported the ability of chitosan nanocapsules to enhance and prolong the oral absorption of peptides. In the present work, our goal was to design a new type of nanocapsules, using chitosan chemically modified with poly(ethylene glycol) (PEG) (0.5% and 1% pegylation degree) and to investigate the consequences of this modification on the in vitro and in vivo behaviour of the nanocapsules. Chitosan–PEG nanocapsules and the control PEG-coated nanoemulsions were obtained by the solvent displacement technique. Their size was in the range of 160–250 nm. Their zeta potential was greatly affected by the nature of the coating, being positive for chitosan–PEG nanocapsules and negative in the case of PEG-coated nanoemulsions. The presence of PEG, whether alone or grafted to chitosan, improved the stability of the nanocapsules in the gastrointestinal fluids. Using the Caco-2 model cell line it was observed that the pegylation of chitosan reduced the cytotoxicity of the nanocapsules. In addition, these nanocapsules did not cause a significant change in the transepithelial resistance of the monolayer. Finally, the results of the in vivo studies showed the capacity of chitosan–PEG nanocapsules to enhance and prolong the intestinal absorption of salmon calcitonin. Additionally, they indicated that the pegylation degree affected the in vivo performance of the nanocapsules. Therefore, by modulating the pegylation degree of chitosan, it was possible to obtain nanocapsules with a good stability, a low cytotoxicity and with absorption enhancing properties.