The development of targeted therapies for wound repair is knowing a growing interest due to the increasing aging of the population and the incidence of chronic pathologies, mainly pressure ulcers. Among molecules recruiting cell populations and promoting the formation of new vital tissue, sodium mesoglycan (MSG) has been proven to be effective in wound healing. In this work, MSG impregnation of polymer matrices has been attempted by a supercritical carbon dioxide-based process. Polymeric matrices are composed of polycaprolactone blends, where water-soluble polymers, polyethylene glycol, polyvinyl pyrrolidone, gelatin, and thermoplastic starch, have been employed to modulate the MSG release, making the devices potentially suitable for topical administrations. Two different techniques have been used to obtain the films: the first one is compression molding, producing compact and continuous structures, and the second one is electrospinning, producing membrane-like designs. A higher amount of MSG can be loaded into the polymeric matrix in the membrane-like structures since, in these films, the impregnation process is faster than in the case of compression molded films, where the carbon dioxide has firstly diffused and then released the active molecule. The type of water-soluble polymer influences the drug release rate: the blend polycaprolactone-gelatin gives a prolonged release potentially suitable for topical administration.