Nanocomposite microcapsules with both gold and magnetite nanoparticles in the shell were prepared in a layer-by-layer procedure using biocompatible polyelectrolytes and nanoparticles. The process of a nanocomposite multilayer formation was investigated using a quartz crystal microbalance (QCM). In addition, nanocomposite microcapsules were characterized by atomic force microscopy (AFM), transmission electron microscopy (TEM) and energy-dispersive X-ray spectroscopy (EDX). It is found that the amount of adsorbed nanoparticles is similar for nanoparticles of various sizes, while the concentration of gold nanoparticles in the shell is higher for smaller nanoparticles. Adsorption of gold nanoparticles is found to be more effective than adsorption of magnetic nanoparticles. Multifunctionality of microcapsules is manifested by dual: magnetic and optical responses. Iron oxide nanoparticles embedded in the microcapsule shell allowed for control over capsules positioning by external magnetic fields. Furthermore, the nanocomposite microcapsules could be opened by laser irradiation; these results are of interest for medical and biological applications.