Stimuli-responsive polymer microcapsules (PMs) fabricated by the sonochemical method have emerged for developing useful drug delivery systems, and the latest developments are mainly focusing on the synthetic strategies and properties such as structure, size, stability, loading capacity, drug delivery, and release. There, the primary attribution of sonochemistry is to offer a simple and practical approach for the preparation of PMs. Structure, size, stability, and properties of PMs are designed mainly according to synthetic materials, implementation schemes, or specific demands. Numerous functionalities of PMs based on different stimuli are demonstrated: targeting motion in a magnetic field or adhering to the living cells with sensitive sites through molecular recognition, and stimuli-triggered release including enzymatic catalysis, chemical reaction as well as physical or mechanical process. The current review discusses the basic principles and mechanisms of stimuli effects, and describes the progress in the application such as targeted drug systems and controlled drug systems, and also gives an outlook on the future challenges and opportunities for drug delivery and theranostics.