In this work, chemically cross-linked poly (ethylene vinyl acetate) (EVA) was melt-compounded with poly(epsilon-caprolactone) (PCL) to prepare the EVA/PCL blends. The chemical cross-linking reaction of EVA was induced by dicumyl peroxide (DCP) during the melt compounding processing. The effects of the cross-linking degree of the EVA component on the rheological properties, morphology, and melting and crystallization behavior of samples were systematically investigated. The results demonstrated that a morphological change from the quasi-cocontinuous structure to the typical cocontinuous structure was induced with increasing the cross-linking degree of the EVA components. Thermal properties measurements and dynamic mechanical properties measurements demonstrated that the EVA/PCL blends exhibited two independent thermal transitions. The shape memory behavior measurements showed that the samples exhibited excellent triple shape memory effects (triple-SME). The corresponding mechanisms were then analyzed.