Originally regarded as auxiliary additives, nanoparticles have become important constituents of polyelectrolyte multilayers. They represent the key components to enhance mechanical properties, enable activation by laser light or ultrasound, construct anisotropic and multicompartment structures, and facilitate the development of novel sensors and movable particles. Here, we discuss an increasingly important role of inorganic nanoparticles in the layer-by-layer assembly—effectively leading to the construction of the so-called hybrid coatings. The principles of assembly are discussed together with the properties of nanoparticles and layer-by-layer polymeric assembly essential in building hybrid coatings. Applications and emerging trends in development of such novel materials are also identified.