Due to the increasing aging population and the high probability of sport injury among young people nowadays, it is of great demand to repair/regenerate diseased/defected osteochondral tissue. Given that osteochondral tissue mainly consists of a subchondral layer and a cartilage layer which are structurally heterogeneous and mechanically distinct, developing a biomimetic bi-phasic scaffold with excellent bonding strength to regenerate osteochondral tissue is highly desirable. Three-dimensional (3D) printing is advantageous in producing scaffolds with customized shape, designed structure/composition gradients and hence can be used to produce heterogeneous scaffolds for osteochondral tissue regeneration. In this study, bi-layered osteochondral scaffolds were developed through cryogenic 3D printing, in which osteogenic peptide/β-tricalcium phosphate/poly(lactic-co-glycolic acid) water-in-oil composite emulsions were printed into hierarchically porous subchondral layer while poly(D,L-lactic acid-co-trimethylene carbonate) water-in-oil emulsions were printed into thermal-responsive cartilage frame on top of the subchondral layer. The cartilage frame was further filled/dispensed with transforming growth factor-β1 loaded collagen I hydrogel to form the cartilage module. Although the continuously constructed osteochondral scaffolds had distinct microscopic morphologies and varied mechanical properties at the subchondral zone and cartilage zone at 37 °C, respectively, the two layers were closely bonded together, showing excellent shear strength and peeling strength. Rat bone marrow derived mesenchymal stem cells (rBMSCs) exhibited high viability and proliferation at both subchondral- and cartilage layer. Moreover, gradient rBMSC osteogenic/chondrogenic differentiation was obtained in the osteochondral scaffolds. This proof-of-concept study provides a facile way to produce integrated osteochondral scaffolds for concurrently directing rBMSC osteogenic/chondrogenic differentiation at different regions.