The effects of carbon nanofibres (CNFs) on the mechanical performance and healing efficiency of self-healing epoxy/poly(epsilon-caprolactone) (PCL) blends were examined. Through a simple polymer blending process, phase-separated epoxy/PCL blends were prepared, which showed self-healing capability upon thermal activation. The introduction of CNFs into a co-continuous phase-structured epoxy/PCL system, at the content of as low as 0.2 wt.%, has been found to yield combinational improvements in the flexural strength, tensile strength, toughness and hardness with no adverse effect on the self-healing performance. Significantly enhanced mechanical performance by low content of CNFs enables the development of epoxies and advanced polymer composites with longer service life and less maintenance.