Poly(methyl methacrylate) (PMMA) is the most frequently used bone void filler in orthopedic surgery. However, the interface between the PMMA-based cement and adjacent bone tissue is typically weak as PMMA bone cement that is inherently bioinert and not ideal for bone ingrowth. The present study aims to improve the affinity between the polymer and ceramic interphases. By surface modifying nano-sized hydroxyapatite (nHAP) with ethylene glycol and poly(ε-caprolactone) (PCL) sequentially via a two-step ring opening reaction, affinity was improved between the polymer and ceramic interphases of PCL-grafted ethylene glycol-HAP (gHAP) in PMMA. Due to better affinity, the compressive strength of gHAP/PMMA was significantly enhanced compared to nHAP/PMMA. Further, PMMA with 20 wt.% gHAP promoted pre-osteoblast cell proliferation in vitro and showed the best osteogenic activity between the composites tested in vivo. Taken together, gHAP/PMMA not only improves the interfacial adhesion between the nanoparticles and cement, but also increases the biological activity and affinity between the osteoblast cells and PMMA composite cement. These results show that gHAP and its use in polymer/bioceramic composite have great potential to improve the functionality of PMMA cement.