Polyelectrolyte multilayer microcapsules and nanocapsules are under review as multifunctional delivery systems. Tailoring functions in the entity of a single capsule is done by incorporation of functional polyelectrolytes or nanoparticles in between the layers during electrostatic self-assembly. The resulting capsules possess different properties such as controlled and triggered release, responsiveness to temperature, pH and light and could be navigated with a magnetic field. A variety of substances can be encapsulated and delivered to cells and tissues. Potential applications as well as in vivo experiments have recently been explored. Capsules made of biodegradable polymers showed low toxicity in vivo. Perspectives on and obstacles to a way of broader application are discussed.