To meet the growing demand for rapid heat dissipation in electronic devices to ensure their reliable performance with a high level of safety, many polymer composites with thermally conductive but electrically insulating 2D boron nitride nanosheets (BNNSs) are being developed. Here we present an efficient way to enhance the thermal conductivity (TC) of a polymer composite by means of “grafting‐from” polymerization of a poly(caprolactone) (PCL) onto BNNSs. The BNNSs, which were exfoliated from bulk BN by means of ultra‐sonication, were prepared by means of radical oxidation. These oxidized BNNSs (oxi‐BNNSs) were employed as initiators for subsequent ring‐opening polymerization of PCL, which successfully resulted in PCL chemically grafted onto BNNSs (PCL‐g‐BNNSs). The excellent dispersion of PCL‐g‐BNNSs in common solvents allowed us to readily fabricate a polymer composite that contained PCL‐g‐BNNSs embedded in a PCL matrix, and the composite showed TC values that were five and nine times greater in the out‐of‐plane and in‐plane mode, respectively, than those of pristine PCL.