There is a huge interest in developing novel hollow fiber (HF) membranes able to modulate neural differentiation to produce in vitro blood-brain barrier (BBB) models for biomedical and pharmaceutical research, due to the low cell-inductive properties of the polymer HFs used in current BBB models. In this work, poly(ε-caprolactone) (PCL) and composite PCL/graphene (PCL/G) HF membranes were prepared by phase inversion and were characterized in terms of mechanical, electrical, morphological, chemical, and mass transport properties. The presence of graphene in PCL/G membranes enlarged the pore size and the water flux and presented significantly higher electrical conductivity than PCL HFs. Biocompatibility assay showed that PCL/G HFs significantly increased C6 cells adhesion and differentiation towards astrocytes, may be attributed to their higher electrical conductivity in comparison to PCL HFs. On the other hand, PCL/G membranes produced a cytotoxic effect on the endothelial cell line HUVEC presumably related with a higher production of intracellular reactive oxygen species induced by the nanomaterial in this particular cell line. These results prove the potential of PCL HF membranes to grow endothelial cells and PCL/G HF membranes to differentiate astrocytes, the two characteristic cell types that could develop in vitro BBB models in future 3D co-culture systems.