Design of reactive oxygen species (ROS)-sensitive degradable polymer can be a promising strategy for biomedical polymers with a slow degradation kinetics. Here we are reporting a thermogelling poly(ethylene glycol)-polycaprolactone-poly(ethylene glycol) (PEG-PCL-PEG) triblock copolymer prepared through connecting poly(ethylene glycol)-polycaprolactone diblock copolymers using oxalyl chloride. The PEG-PCL-PEG triblock copolymer formed themogellation as the temperature increased. The in vitro degradation of the PEG-PCL-PEG gel was sensitive to hydrogen peroxide and PEG-PCL were formed in the presence of hydrogen peroxide (1.0 mM). In vivo study was performed by injection aqueous polymer solution (36.0 wt.%, 0.5 mL) into the subcutaneous layer of rats. The H&E staining around the gel depot exhibited increase of immune cells initially, however the gel is completely disappeared in 21 days. The in situ formed gel provided a sustained release profile of the cyclosporine over 21 days.