In this work, polysaccharide nanocrystals—rodlike cellulose whiskers (CWs)—were surface-grafted with polycaprolactone (PCL) via microwave-assisted ring-opening polymerization, and filaceous cellulose whisker-graft-polycaprolactone (CW-g-PCL) nanoparticles were produced. Moreover, the resultant nanoparticles were incorporated into poly(lactic acid) (PLA) as a matrix, and they showed superior function for enhancing the mechanical performance of PLA based materials in comparison with platelet-like nanoparticles of starch nanocrystal-graft-PCL. The optimal loading level of CW-g-PCL was 8 wt %, and this resulted in simultaneous enhancements of the strength and elongation of approximately 1.9- and 10.7-fold, respectively, over those of the neat PLA material. In this case, the rigid CW nanoparticles contributed to the endurance of higher stress, whereas the grafted PCL chains improved the association between the PLA matrix and the CW-g-PCL filler and hence facilitated the transfer of stress to the rigid CW nanoparticles. Furthermore, such a fully biodegradable PLA-based nanocomposite shows great potential for environmentally friendly materials because of its high mechanical performance.