Although chronic inflammation inhibits bone healing, the healing process is initiated by an inflammatory phase. In a well-tuned sequence of molecular events, pro-inflammatory cytokines are secreted to orchestrate the inflammation response to injury and the recruitment of progenitor cells. These events in turn activate the secretion of anti-inflammatory signaling molecules and attract cells and mediators that antagonize the inflammation and initiate the repair phase. Sulfated glycosaminoglycanes (sGAG) are known to interact with cytokines, chemokines and growth factors and, thus, alter the availability, duration and impact of those mediators on the local molecular level. sGAG-coated polycaprolactone-co-lactide (PCL) scaffolds were inserted into critical-size femur defects in adult male Wistar rats. The femur was stabilized with a plate, and the defect was filled with either sGAG-containing PCL scaffolds or autologous bone (positive control). Wound fluid samples obtained by microdialysis were characterized regarding alterations of cytokine concentrations over the first 24 h after surgery. The analyses revealed the inhibition of the pro-inflammatory cytokines IL-1β and MIP-2 in the sGAG-treated groups compared to the positive control. A simultaneous increase of IL-6 and TNF-α indicated advanced regenerative capacity of sGAG, suggesting their potential to improve bone healing.