Cellulose nanocrystal (CNC) incorporation in polymeric matrices is an environmentally friendly approach to mechanical reinforcement. In general, significant mechanical reinforcement can only be achieved by means of good CNC dispersion at random orientation. These primary characteristics are even more relevant for the preparation of nanocomposites based on hydrophobic matrices, such as poly(epsilon-caprolactone) (PCL). A straightforward approach to improve CNC dispersion in hydrophobic matrices is their surface modification. However, this extra step is usually complex and often impairs particle-particle interactions, which are also key to mechanical reinforcement. In this work, poly(epsilon-caprolactone)/neat cellulose nanocrystal nanocomposites were prepared by a specific procedure that combined solvent exchange and solvent casting methodologies, avoiding the use of any additives or chemical modification. These nanocomposites were investigated in terms of the CNC percolation network formation and its effect on the overall mechanical properties. The results showed that significant mechanical reinforcement was obtained, reaching a 155% Young's modulus increase at 25 wt% CNC content. TEM showed a percolated network in the PCL/CNC25 nanocomposite. In terms of morphology and nanostructure, increasing CNC concentration also promoted a reduction in PCL spherulite size and lamellar thickness. These results pointed out to CNC preferential localization in the interfibrillar region. In conclusion, the solvent exchange methodology presented herein led to mechanically reinforced PCL/CNC nanocomposites with small crystalline domains intertwined with a percolated CNC network.