Electrospun nanofiber meshes (NFM), due to their morphology and fibrous structure, are extensively proposed as biomedical devices, for tissue engineering on scaffolds and also as drug delivery systems. Liposomes are nanoparticles prepared from a biologically derived material (phospholipid), which are already in clinical use as a drug release device. Liposomes may be combined with biomaterial scaffolds to promote a local and sustained delivery of loaded bioactive agents. The main objective of the present study is to evaluate the efficacy of dexamethasone (Dex)-loaded liposomes immobilized on the surface of electrospun polycaprolactone (PCL) NFM for promoting the osteogenic differentiation of human bone marrow-derived mesenchymal stem cells (hBMSCs). The in vitro release profile demonstrates a sustained release of Dex over 21 days, after an initial burst release over 12 h. Biological assays show that Dex-loaded liposomes immobilized on the surface of electrospun PCL NFMs do not exhibit any cytotoxic effect, being able to successfully promote the osteogenic differentiation of hBMSCs. We herein validate the concept of using liposomes immobilized on the surface of a nanostructured fibrous system to be used as an advanced cell carrier device with autonomous release of growth/differentiation factors relevant for tissue engineering and regenerative medicine strategies.