This review is devoted to a novel type of polymer micro- and nanocapsules. The shell of the capsule is fabricated by alternate adsorption of oppositely charged polyelectrolytes (PEs) onto the surface of colloidal particles. Cores of different nature (organic or inorganic) with size varied from 0.1 to 10 μm can be used for templating such PE capsules. The shell thickness can be tuned in nanometer range by assembling of defined number of PE layers. The permeability of capsules depends on the pH, ionic strength, solvent, polymer composition, and shell thickness; it can be controlled and varied over wide range of substances regarding their molecular weight and charge. Including functional polymers into capsule wall, such as weak PEs or thermosensitive polymers, makes the capsule permeability sensitive to correspondent external stimuli. Permeability of the capsules is of essential interest in diverse areas related to exploitation of systems with controlled and sustained release properties. The envisaged applications of such capsules/vesicles cover biotechnology, medicine, catalysis, food industry, etc.