Ever since their invention in 1998, polyelectrolyte multilayer micro- and nano-capsules have impacted various areas of biology, chemistry and physics. Here we highlight progress achieved since the millennium in the areas of encapsulation in and release from microcapsules, describe various structures including multicompartment and anisotropic constructs, and provide examples of several applications in biology. We also describe application areas such as drug delivery, intracellular trafficking, enzyme-catalyzed reactions, mechano-biology which benefited from recent developments in the area of polyelectrolyte multilayer capsules.