Coacervation is a process during which a homogeneous aqueous solution undergoes liquid–liquid phase separation, giving rise to two immiscible liquid phases composed of a colloid‐rich coacervate phase in equilibrium with a colloid‐poor phase simultaneously. Recent attempts to develop complex coacervation from macromolecular self‐assemblies have diversified a large group of novel coacervate‐related materials with sophisticated properties and emerging applications. In this review, the most recent progress in the design strategies of macromolecular complex coacervation is discussed with respect to different key parameters, including macromolecular structure, mixing ratio, ionic strength, pH, and temperature, etc. Furthermore, the applications of these multiple‐functional coacervate materials, oriented toward advanced encapsulation, are further summarized into several active domains in wastewater treatment, protein purification, food formulation, underwater adhesives, drug delivery, and cellular mimics. Finally, perspectives and future challenges related to the further advancement of macromolecular complex coacervates are proposed.