Fibrous membranes of thermoplastic polyurethane (TPU) were fabricated through a uni-axial electrospinning process. Fibers were then separately charged with two pharmacological agents, mesoglycan (MSG) and lactoferrin (LF), by supercritical CO2 impregnation. Scanning Electron Microscopy (SEM) and Energy Dispersive X-ray Spectroscopy (EDS) analysis proved the formation of a micrometric structure with a homogeneous distribution of mesoglycan and lactoferrin. Besides, the degree of retention is calculated in four liquid media with different pHs. At the same time, angle contact analysis proved the formation of a hydrophobic membrane loaded with MSG and a hydrophilic LF-loaded one. The impregnation kinetics demonstrated a maximum loaded amount equal to 0.18 ± 0.20% and 0.07 ± 0.05% for MSG and LT, respectively. In vitro tests were performed using a Franz diffusion cell to simulate the contact with the human skin. The release of MSG reaches a plateau after about 28 h while LF release leveled off after 15 h. The in vitro compatibility of electrospun membranes has been evaluated on HaCaT and BJ cell lines, as human keratinocytes and fibroblasts, respectively. The reported data proved the potential application of fabricated membranes for wound healing.