Layer-by-layer assembled polyelectrolyte capsules with well-controlled architectures and great versatility have been the subject of great interest, due to their unique advantages and tremendous potentials of being excellent candidates in multidisciplinary fields. UV light responsive microcapsules, as one class of the stimuli responsive capsules, possess the abilities to active their functionalities by responding to the UV stimulus remotely without requirement of direct contact or interaction. Therefore, any advances in this field will be of great value for the establishment of approaches to fabricate UV responsive polyelectrolyte capsules for desired uses. This review presents current development of UV responsive capsules, with emphasis on the underlying design strategies and their potential applications as delivery vesicles. In particular, UV-stimulated capsule functionalities, such as cargo encapsulation, release and combined multifunctionalities by the multilayers, have been addressed.