Amphiphilic diblock copolymers poly(ϵ-caprolactone)-b-poly(ethylene oxide) (PCL-b-PEO) with well-controlled pendant azido groups along the hydrophilic PEO block, that is, poly(ϵ-caprolactone)-b-poly(ethylene oxide-co-glycidyl azide) (PCL-b-P(EO-co-GA)), are synthesized from poly(ϵ-caprolactone)-b-poly(ethylene oxide-co-epichlorohydrin) (PCL-b-P(EO-co-ECH)). The further conversion of those azido groups along the hydrophilic block of copolymers into amino or carboxyl groups via click chemistry is studied. The micelles self-assembled from PCL-b-P(EO-co-GA) with azido groups on the shell are crosslinked by the dialkynyl-PEO. The micelles with crosslinked shell show better stability, higher drug loading capacities, subsequent faster drug release rate, and higher cytotoxicity to cancer cells. The introduction of azido groups into PCL-b-PEO amphiphilic diblock copolymers from epichlorohydrin in PEO hydrophilic block in this work provides a new method for biofunctionalization of micelles via mild click chemistry.