Thermogravimetric analysis (TGA) simultaneously coupled with mass spectrometry (MS) and Fourier transform infrared spectrometry (FTIR) was developed as an original technique to study the thermal modification/degradation of poly(ε-caprolactone) (PCL) through in depth analysis of the evolved gas. Perfectly well-defined PCL samples with controlled end groups, predictable molecular weight, and narrow molecular weight distribution were synthesized by living "coordination-insertion" ring-opening polymerization of ε-caprolactone initiated by aluminum triisopropoxide. TGA analyses carried out on purified PCL samples, deprived from any residual catalyst or monomer, highlighted a two-step thermal degradation. Evolved gas analysis by both MS and FTIR showed that the first process implies a statistical rupture of the polyester chains via ester pyrolysis reaction. The produced gases were identified as H2O, CO2, and 5-hexenoic acid. The second step leads to the formation of ε-caprolactone (cyclic monomer) as result of an unzipping depolymerization process. The influence of parameters such as polyester molecular weight, nature of the PCL end groups, and presence of catalytic residues as well as the type of purge gas were investigated. The activation energy of the thermal degradation was also studied.