The design of novel, effective drug delivery systems is one of the most promising ways to improve the treatment of socially important diseases. This article reports on an innovative approach to the production of composite microcontainers (microcapsules) bearing advanced protective functions. Cerium oxide (CeO2) nanoparticles were incorporated into layer-by-layer polyelectrolyte microcapsules as a protective shell for an encapsulated enzyme (luciferase of Photinus pyralis), preventing its oxidation by hydrogen peroxide, the most abundant type of reactive oxygen species (ROS). The protective effect depends on CeO2 loading in the shell: at a low concentration, CeO2 nanoparticles only scavenge ROS, whereas a higher content leads to a decrease in access for both ROS and the substrate to the enzyme in the core. By varying the nanoparticle concentration in the microcapsule, it is possible to control the level of core shielding, from ROS filtering to complete blocking. A comprehensive analysis of microcapsules by transmission electron microscopy, scanning electron microscopy, atomic force microscopy, confocal laser scanning microscopy, and energy-dispersive X-ray spectroscopy techniques was carried out. Composite microcapsules decorated with CeO2 nanoparticles and encapsulated luciferase were shown to be easily taken up by rat B-50 neuronal cells; they are nontoxic and are able to protect cells from the oxidative stress induced by hydrogen peroxide. The approach demonstrated that the active protection of microencapsulated substances by CeO2 nanoparticles can be used in the development of new drug delivery and diagnostic systems.